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MX5019: CONTINUOUS TIME MODELS (2022-2023)

Last modified: 24 Oct 2022 14:20


Course Overview

This course is a part of the MSc programme in Financial Technology. It is concerned with financial mathematical models in continuous time. The main topic is the Black-Scholes-Merton model from both theoretical and practical perspective.

Course Details

Study Type Postgraduate Level 5
Term First Term Credit Points 15 credits (7.5 ECTS credits)
Campus Aberdeen Sustained Study No
Co-ordinators
  • Professor Jaroslaw J. Kedra

What courses & programmes must have been taken before this course?

  • Any Postgraduate Programme

What other courses must be taken with this course?

None.

What courses cannot be taken with this course?

Are there a limited number of places available?

No

Course Description

The course is a continuation of the course on discrete time models and introduces the continuous time models of financial markets. It is mostly concerned with Black-Scholes-Merton model and introduces mathematical tools needed for the model and introduces mathematical tools needed for the model and carefully derives the Black-Scholes-Merton pricing formulas. It also discusses the shortcomings of the Black-Scholes-Merton model.


Contact Teaching Time

Information on contact teaching time is available from the course guide.

Teaching Breakdown

More Information about Week Numbers


Details, including assessments, may be subject to change until 30 August 2024 for 1st term courses and 20 December 2024 for 2nd term courses.

Summative Assessments

Exam

Assessment Type Summative Weighting 50
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Learning Outcomes
Knowledge LevelThinking SkillOutcome
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Essay

Assessment Type Summative Weighting 50
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Knowledge LevelThinking SkillOutcome
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Formative Assessment

There are no assessments for this course.

Resit Assessments

Exam

Assessment Type Summative Weighting 50
Assessment Weeks Feedback Weeks

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Pass marks carried forward

Learning Outcomes
Knowledge LevelThinking SkillOutcome
Sorry, we don't have this information available just now. Please check the course guide on MyAberdeen or with the Course Coordinator

Essay

Assessment Type Summative Weighting 50
Assessment Weeks Feedback Weeks

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Feedback

Pass marks carried forward

Word Count
Learning Outcomes
Knowledge LevelThinking SkillOutcome
Sorry, we don't have this information available just now. Please check the course guide on MyAberdeen or with the Course Coordinator

Course Learning Outcomes

Knowledge LevelThinking SkillOutcome
FactualRememberNot Available

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