This course reviews advanced topics in discrete and continuous time market theory and derivatives pricing. The emphasis is on valuation and hedging and provides a more in-depth view of interest-rate derivative pricing. After reviewing some classic no-arbitrage models, a range of alternative pricing models and approaches will be presented: no-arbitrage models linked to market practice, multi-factor models, the forward measure approach, positive interest-rate models, and market models. This course focuses on numerical methods and calibration tools necessary for working in industry.

• By the end of this course students are expected to have attained a sound working knowledge of both the theory and the computational aspects of interest-rate derivatives pricing.

The assessment for this course is proposed to be made on the following basis:  A final examination (75%) and 6 assignments, assessed fortnightly throughout the semester.  The best 5 assignments will be worth 5% of the total mark each, the lowest mark will be dropped.

At least three contact hours per week.

FINM3003 Continuous Time Finance

For further information please refer to Course Website