| Module Title |
Stochastic Finance (Intermediate) |
| Module Code |
MTH1059 (ITS: MS426) |
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Faculty |
Science & Health |
School |
Mathematical Sciences |
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NFQ level |
8 |
Credit Rating |
7.5 |
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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.
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Learning Outcomes
1. Use basic models to price assets
2. Apply common hedging techniques
3. Derive heuristic solutions to portfolio choice problems
4. Understand the payoffs of different trading strategies
5. Use risk-neutral methods to price derivative contracts
6. Relate discrete-time models with their continuous-time counterparts
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| 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 |
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| Section Breakdown | | CRN | 20794 | Part of Term | Semester 2 | | Coursework | 0% | Examination Weight | 100% | | Grade Scale | 40PASS | Pass Both Elements | N | | Resit Category | RC1 | Best Mark | N | | Module Co-ordinator | Paolo Guasoni | Module Teacher | |
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| 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
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Pre-requisite |
None
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Co-requisite |
None |
| Compatibles |
None |
| Incompatibles |
None |
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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
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Indicative Content and Learning Activities
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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 |
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