School of Mathematics

MATH2515: Financial Mathematics 2

I am teaching the module MATH2515: Financial Mathematics 2 in the first semester of 2011/12. Current students can find notes and other course materials via the Virtual Learning Environment (VLE). The notes are also provided on this page as an alternative.

Hand-outs

• Lecture 1: Syllabus, practical matters, summary of Financial Mathematics I.
• Lecture 2: Chapter 1 (financial assets).
• Lecture 3: Sections 2.1 (introduction to forward contracts) and 2.2 (the no-arbitrage principle).
• Lecture 4: Section 2.3 (no-arbitrage pricing of forward contracts).
• Lecture 5: Sections 2.4 (value of forwards) and 2.5 (forwards on assets with pay-outs).
• Lecture 6: Section 2.6 (forwards on assets with percentage pay-outs).
• Lecture 7: Section 3.1 (term structure of interest rates, discrete time) — corrected.
• Lecture 8: Section 3.2 (term structure of interest rates, continuous time).
• Lecture 9: Sections 3.3 (bonds) and 3.4 (explanations of term structure).
• Lecture 10: Section 3.5 (example question).
• Lecture 11: Section 4.1 (duration).
• Lecture 12: Section 4.2 (convexity).
• Lecture 13: Section 4.3 (Redington immunization).
• Lecture 14: Sections 4.3 (Redington immunization, continued) and 4.4 (example).
• Lecture 15: Section 5.1 (stochastic models, examples).
• Lecture 16: Sections 5.2 (intro to probability theory) and 5.3 (analysis of examples).
• Lecture 17: Section 5.4 (independent rates).
• Lecture 18: Sections 5.5 (continuously distributed rates) and 5.6 (annual investments).
• Lecture 19: Chapter 6 (options).
• Lecture 20: Cancelled.
• Lecture 21: Sample exam.
• Lecture 22: Solution for sample exam.

Exercises

• Exercise class 1; on 5 October.
• Exercise class 2; on 19 October.
• Exercise class 3; on 2 November.
• Exercise class 4; on 16 November.
• Exercise class 5; on 30 November.

Course work

• Course work 1; due 17 October.
• Course work 2; due 31 October.
• Course work 3; due 14 November.
• Course work 4; due 28 November.

Module catalogue

Basic information about this module can be found in the module catalogue.