This course is available on the BSc in Actuarial Science, BSc in Business Mathematics and Statistics and BSc in Mathematics, Statistics and Business. This course is not available as an outside option. This course is available to General Course students.
This course is available on the BSc in Actuarial Science, BSc in Business Mathematics and Statistics and BSc in Mathematics, Statistics and Business. This course is not available as an outside option. This course is available to General Course students.
This course will be delivered through a combination of seminars and lectures totalling a minimum of 60 hours across Michaelmas Term and Lent Term. This year, some or all of this teaching may be delivered through a combination of virtual classes and flipped-lectures delivered as short online videos. This course includes a reading week in Week 6 of Michaelmas/Lent Term. Students will work on and submit formative coursework towards the end of MT and a second set of formative coursework towards the end of LT. Feedback and solutions will be provided
Two sets of hand-in exercises will also be given during the year.
N H Bingham & R Kiesel, Risk Neutral Valuation; A Cerny, Mathematical Techniques in Finance: Tools for Incomplete Markets; J Hull, Options, Futures & Other Derivatives; R Jarrow & S Turnbull, Derivative Securities; D Luenberger, Investment Science; Institute of Actuaries core reading notes, Subject CT8.
Exam (90%, duration: 3 hours) in the summer exam period. Coursework (10%) in the LT.