- UCAS course code
- F305
- UCAS institution code
- M20
Master of Physics (MPhys)
MPhys Physics
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Duration: 4 years
Year of entry: 2025
UCAS course code: F305 / Institution code: M20
- Key features:
Scholarships available
Accredited course
- Typical A-level offer: A*A*A including specific subjects
- Typical contextual A-level offer: A*AA including specific subjects
- Refugee/care-experienced offer: AAA including specific subjects
- Typical International Baccalaureate offer: 38 points overall with 7,7,6 at HL, including specific requirements
Course unit details:
Introduction to Financial Mathematics
| Unit code | MATH20912 |
|---|---|
| Credit rating | 10 |
| Unit level | Level 2 |
| Teaching period(s) | Semester 2 |
| Available as a free choice unit? | No |
Overview
This course is intended to serve as a basic introduction to financial mathematics. It gives a mathematical perspective on the valuation of financial instruments (futures, options, etc.) and their risk-management. The purpose of the course is to introduce students to the stochastic techniques employed in derivative pricing.
Aims
This unit aims to introduce fundamental concepts for modelling financial markets, finding optimal investment portfolios, and pricing and hedging derivatives
Learning outcomes
On completion of this unit successful students will be able to:
• describe standard financial market models for bonds and stocks
• calculate mutual fund and investment portfolios based on a mean-variance criterion
• apply the no-arbitrage principle to derive mathematical formulas for cashflow values, investment, and pricing
• explain and use selected features of practical concern like coupons/dividends, payoff diagrams, or Greeks
Syllabus
The syllabus of the course is:
1. Bonds and Stocks [4]
2. The no-arbitrage principle [2]
3. Mean variance investment [4]
4. Pricing of forwards and options [4]
5. The binomial tree model [4]
6. The Black-Scholes model [4]
Teaching and learning methods
-Lectures are the entire cohort in one room together
-Fortnightly tutorials discuss problem sheets in smaller classes
Assessment methods
| Method | Weight |
|---|---|
| Written exam | 100% |
Feedback methods
Feedback tutorials will provide an opportunity for students' work to be discussed and provide feedback on their understanding. Coursework or in-class tests (where applicable) also provide an opportunity for students to receive feedback. Students can also get feedback on their understanding directly from the lecturer, for example during the lecturer's office hour.
Recommended reading
1) J. Cvitanic & F. Zapatero (2004): Introduction to the Economics and Mathematics of Financial Markets, MIT Press.
2) J. Hull (2008): Options, Futures and Other Derivatives, 11th Edition, Pearson.
Study hours
| Scheduled activity hours | |
|---|---|
| Lectures | 12 |
| Tutorials | 12 |
| Independent study hours | |
|---|---|
| Independent study | 76 |
Teaching staff
| Staff member | Role |
|---|---|
| Thomas Bernhardt | Unit coordinator |
Additional notes
The independent study hours will normally comprise the following. During each week of the taught part of the semester:
- You will normally have approximately 60-75 minutes of video content. Normally you would spend approximately 2-2.5 hrs per week studying this content independently
- You will normally have exercise or problem sheets, on which you might spend approximately 1.5hrs per week
- There may be other tasks assigned to you on Blackboard, for example short quizzes or short-answer formative exercises
- In some weeks you may be preparing coursework or revising for mid-semester tests
Together with the timetabled classes, you should be spending approximately 6 hours per week on this course unit.
The remaining independent study time comprises revision for and taking the end-of-semester assessment.