Lecturer(s): Dr Martin Herdegen
- Students must have done either ST218 Mathematical Statistics A or ST220 Introduction to Mathematical Statistics.
- It is strongly recommended to take either MA359 Measure theory or ST342 Mathematics of Random Events alongside this module.
- Statistics students may take at most one of the following:
- ST339 Introduction to Mathematical Finance
- EC333 Topics in Financial Economics: Theories and International Finance
- IB253 Principles of Finance 1
- Moreover, Statistics students who have taken ST339 Introduction to Mathematical Finance may not take IB254 Principles of Finance 2.
- 3 hours of lectures per week. 5 example classes per term. This module runs in Term 1.
- To provide an introduction to Mathematical Finance in discrete time and cover the discrete part of the CT8 actuarial syllabus.
- The Actuarial profession has agreed to grant an exemption to their professional examination CT8 to students who perform sufficiently well in the examinations for both ST339 and ST401.
- This module serves as a prerequisite for ST401, and for the following WBS finance modules:
- IB357 Investment Management
- IB359 Derivatives and Risk Management
- IB394 International Financial Management.
- It is also a prerequisite (acting as an alternative to EC333) for the module EC334 Topics in Financial Economics: Corporate Finance and Markets.
- Arbitrage theory
- Mean-variance portfolio selection and the Capital Asset Pricing Model
- Utility theory and Risk measures
- Pricing and Hedging in discrete time, Binomial Model
Assessment: 100% by 2-hour exam in Summer.
- H. Föllmer and A. Schied: Stochastic Finance. An Introduction in Discrete Time, 4th ed., de Gruyter, 2016.
- S.F. LeRoy and J. Werner: Principles of Financial Economics, 2nd ed., Cambridge University Press, 2014.
- S.E. Shreve: Stochastic Calculus for Finance 1: The Binomial Asset Pricing Model, Springer, 2003.
- J. Jacod and P. Protter: Probability Essentials, Springer, 2003.
Resources for current ST339 students via moodle (restricted access)