The Core Modules cover the mathematical foundations (probability, statistics, PDEs) stochastic calculus and martingale theory, portfolio theory, the Black-Scholes model and extensions, numerical methods (finite differences and Monte Carlo), interest rate modeling, stochastic optimization, exotic derivatives and stochastic volatility. Matlab is taught as a practical computing language.
The Core Modules are assessed formatively. (Feedback will be given with an indicative mark in order to assist students in improving their future performance.) Attendance at the Core Modules is compulsory. Two two-hour written examinations held in September cover the material of the Core Modules.
Please note that the content of the Modules is subject to slight variation. Please see the Course Handbook for more details.
2018 Core Modules
8 - 12 January 2018
Assignment due: 12 noon UK time, 12 February 2018
26 February - 2 March 2018
Assignment due: 12 noon UK time, 2 April 2018
23 - 27 April 2018
Assignment due: 12 noon UK time, 28 May 2018
11 - 15 June 2018
Assignment due: 12 noon UK time, 16 July 2018
2019 Core Modules
Module 1: Mathematical and Technical Prerequisites
7 - 11 January 2019
Module 2: Black-Scholes Theory
25 February - 1 March 2019
Module 3: Extensions of the Black-Scholes Theory
29 April - 3 May 2019
Module 4: Exotic Options and Advanced Modelling Techniques
17 - 21 June 2019