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ST339 - Introduction to Mathematical Finance

  • Module code: ST339
  • Module name: Introduction to Mathematical Finance
  • Department: Statistics
  • Credit: 15

Content and teaching | Assessment | Availability

Module content and teaching

Principal aims

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.

Principal learning outcomes

1. Utility theory: first and second order dominance of random variables, utility functions, satiation, risk aversion, utility maximisation. 2. Investment risk, shortfall probabilities, Value at Risk 3. Mean-variance portfolio theory 4. Asset pricing models, the Capital Asset pricing Model and Arbitrage Pricing Theory. The Efficient Markets Hypothesis. 5. Option pricing in discrete time. Arbitrage, Market completeness. The binomial model. 6. European and American puts and calls. Financial derivatives.

Timetabled teaching activities

3 hours of lectures per week. 5 example classes per term. This module runs in Term 1.

Departmental link

http://www2.warwick.ac.uk/fac/sci/statistics/modules/st3/st339

Other essential notes

This module serves as a prerequisite for ST401, and for the following WBS finance modules: IB357 Investment Management, IB359 Derivatives and Risk Management and 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.

Module assessment

Assessment group Assessment name Percentage
15 CATS (Module code: ST339-15)
B (Examination only) 2 hour examination (Summer) 100%

Module availability

This module is available on the following courses:

Core
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30A) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30E) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30E) - Year 4
Optional Core

N/A

Optional
  • Undergraduate Mathematics (BSc) (G100) - Year 3
  • Undergraduate Mathematics with Intercalated Year (G101) - Year 4
  • Undergraduate Mathematics (MMath) (G103) - Year 3
  • Undergraduate Mathematics (MMath) (G103) - Year 4
  • Undergraduate Master of Mathematics (with Intercalated Year) (G105) - Year 3
  • Undergraduate Master of Mathematics (with Intercalated Year) (G105) - Year 4
  • Undergraduate Master of Mathematics (with Intercalated Year) (G105) - Year 5
  • Undergraduate Mathematics (MMath) with Study in Europe (G106) - Year 4
  • Undergraduate Mathematics and Statistics (BSc MMathStat) (G1G3) - Year 3
  • Undergraduate Mathematics and Statistics (BSc MMathStat) (G1G3) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G300) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G300) - Year 4
  • Undergraduate Data Science (G302) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30A) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30A) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30A) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30B) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30B) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30B) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30C) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30C) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30C) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30D) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30D) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30D) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30E) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30E) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30E) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30F) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30F) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30F) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30G) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30G) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30G) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30H) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30H) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30H) - Year 5
  • Undergraduate Discrete Mathematics (G4G1) - Year 3
  • Undergraduate Discrete Mathematics with Intercalated Year (G4G2) - Year 4
  • Undergraduate Discrete Mathematics (G4G3) - Year 3
  • Undergraduate Mathematics and Statistics (BSc) (GG14) - Year 3
  • Undergraduate Mathematics and Statistics (with Intercalated Year) (GG17) - Year 4
  • Undergraduate Mathematics,Operational Research,Statistics and Economics (Y602) - Year 3
  • Undergraduate Mathematics,Operational Research,Statistics,Economics (with Intercalated Year) (Y603) - Year 4