| Module Title |
Stochastic Finance (Intermediate) |
| Module Code |
MTH1059 (ITS: MS426) |
|
Faculty |
Mathematical Sciences |
School |
Science & Health |
|
NFQ level |
8 |
Credit Rating |
7.5 |
|
|
Description
This undergraduate course covers asset pricing, with emphasis on continuous-time models. Arbitrage, trading strategies, market completeness. Portfolio choice in complete and incomplete markets. Myopic and hedging demand. Derivatives pricing: risk-neutral pricing and risk premia.
|
Learning Outcomes
1. Use basic models to price assets
2. 1DBC9D25-E61D-0001-2AC9-16191ECC60D0
3. Relate discrete-time models with their continuous-time counterparts
|
| Workload | Full time hours per semester | | Type | Hours | Description |
|---|
| Lecture | 36 | Classes | | Directed learning | 2 | Final Exam | | Seminars | 5 | Attendance to Research Seminars | | Independent Study | 150 | Independent work on textbooks and related papers |
| Total Workload: 193 |
|
|
| Section Breakdown | | CRN | 20794 | Part of Term | Semester 2 | | Coursework | 0% | Examination Weight | 0% | | Grade Scale | 40PASS | Pass Both Elements | Y | | Resit Category | RC1 | Best Mark | N | | Module Co-ordinator | Paolo Guasoni | Module Teacher | |
|
| Assessment Breakdown |
| Type | Description | % of total | Assessment Date |
|---|
| Formal Examination | End-of-Semester Final Examination | 100% | End-of-Semester |
| Reassessment Requirement Type |
Resit arrangements are explained by the following categories;
RC1: A resit is available for both* components of the module.
RC2: No resit is available for a 100% coursework module.
RC3: No resit is available for the coursework component where there is a coursework and summative examination element.
* ‘Both’ is used in the context of the module having a coursework/summative examination split; where the module is 100% coursework, there will also be a resit of the assessment
|
|
Pre-requisite |
None
|
|
Co-requisite |
None |
| Compatibles |
None |
| Incompatibles |
None |
|
|
All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml
|
Indicative Content and Learning Activities
Error parsing Indicative Content: Syntax error - 4 |
Indicative Reading List
Books:
- Hans Follmer, Alexander Schied: 0, Stochastic finance, 3110183463
- Darrell Duffie: 2001, Dynamic asset pricing theory, Princeton University Press, Princeton, N.J., 978-0691090221
Articles:
None |
Other Resources
None |
|
|
|
|
