Module: Stochastic Finance (Intermediate)

Latest Module Specifications

Current Academic Year 2025 - 2026

Module Title	Stochastic Finance (Intermediate)
Module Code	MTH1059 (ITS: MS426)
Faculty	Science & Health	School	Mathematical Sciences
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. 1DBC9A8A-FC7C-0001-6852-7A40CDC01D14
2. Use basic models to price assets
3. 1DBCA492-288D-0001-8E96-383610CB1F97
4. Apply common hedging techniques
5. 1DBC9A8B-0CDE-0001-2E91-29D01D2B142A
6. Derive heuristic solutions to portfolio choice problems
7. 1DBC9D25-E61D-0001-2AC9-16191ECC60D0
8. Understand the payoffs of different trading strategies
9. 1DBCA492-4728-0001-8995-2460FDF11B1A
10. Use risk-neutral methods to price derivative contracts
11. 1DBCA492-700E-0001-FC6F-D890164F1BDD
12. Relate discrete-time models with their continuous-time counterparts

*Type*	*Hours*	*Description*
Workload	Full time hours per semester
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	100%
Grade Scale	40PASS	Pass Both Elements	N
Resit Category	RC1	Best Mark	N
Module Co-ordinator	Paolo Guasoni	Module Teacher

Type	Description	% of total	Assessment Date
Assessment Breakdown
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

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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