- Module code: MA909
- Module name: Mathematical Tools for Financial Risk Management
- Department: Mathematics Institute
- Credit: 6
Module content and teaching
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.
|Assessment group||Assessment name||Percentage|
|6 CATS (Module code: MA909-6)|
|A (Assessed work only)||Individual Project||100%|
This module is available on the following courses:
- Postgraduate Taught Financial Mathematics (G1P5) - Year 1