Postgraduate taught 

Investment Fund Management MSc

Mathematical Finance ECON5020

  • Academic Session: 2019-20
  • School: Adam Smith Business School
  • Credits: 20
  • Level: Level 5 (SCQF level 11)
  • Typically Offered: Semester 1
  • Available to Visiting Students: No
  • Available to Erasmus Students: No

Short Description

The course is designed to provide students with an advanced knowledge of probability theory and stochastic calculus. It delivers the conceptual and analytical foundation used in other courses, such as Financial Derivatives and Modelling and Forecasting Financial Markets. Topics include sigma algebra, measure theory, probability spaces, stochastic processes in discrete and continuous time, Ito Calculus, martingales, random walks, Brownian motion, and their properties.

Timetable

Ten weekly 2-hour lectures and nine weekly 1-hour tutorials.

Requirements of Entry

Please refer to the current postgraduate prospectus at: http://www.gla.ac.uk/postgraduate/ 

Assessment

A one-hour in-course examination (25% of final grade for course) and a two-hour end-of-course examination (75% of final grade for course).

Main Assessment In: December

Course Aims

The general aims of this course are to:

■ provide an overall introduction to the type of mathematics used extensively in finance;

■ provide a necessary foundation for further study of modern finance in the second semester courses.

Intended Learning Outcomes of Course

By the end of the course students should be able to:

■ analyse stochastic processes closely related to finance and apply stochastic calculus;

■ discuss how well various stochastic processes function as models in finance and explain the limitations of these models;

■ deploy techniques of mathematical finance within a problem solving context;

■ demonstrate skills based on data interpretation and numeracy;

■ demonstrate an ability to construct a focused argument based on coherent general principles;

■ explain financial issues, problems and solutions.

Minimum Requirement for Award of Credits

Students must submit at least 75% by weight of the components (including examinations) of the course's summative assessment.