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MA909 - Mathematical Tools for Financial Risk Management

  • Module code: MA909
  • Module name: Mathematical Tools for Financial Risk Management
  • Department: Mathematics Institute
  • Credit: 6

Content and teaching | Assessment | Availability

Module content and teaching

Principal aims

This module aims to provide the students with a quantitative understanding of the dependency of derivative prices on modelling assumptions and numerical simulations. The focus is on question relevant for risk-management and control. As a by-product students will become familiar with optimal control theory on the analytical side and Bayes statistics and MCMC methods on the numerical side.

Principal learning outcomes

Subject Knowledge and Understanding : Demonstrate a theoretical and practical understanding of the risk induced by both the modelling assumptions and the numerical simulation. Cognitive Skills: Develop a critical awareness of dynamic programming and MCMC methods.Subject - specific/ professional skills: Perform risk management in a consistent, model driven way and thereby going beyond the simplistic “Value at risk”-analysis. Key Skills: Apply optimal control theory and Bayesian statistics to risk management.

Timetabled teaching activities

Total contact hours: 15 hours. Lectures per week: 1 x 2 hours. Laboratory sessions: 1 x 1 hour. Module duration (weeks, if applicable): 5 weeks. Preparation of Individual Project: 25 hours. Independent Study (e.g. laboratory session preparation and write up): 20 hours.

Departmental link

Module assessment

Assessment group Assessment name Percentage
6 CATS (Module code: MA909-6)
A (Assessed work only) Individual Project 100%

Module availability

This module is available on the following courses:



Optional Core