Core Modules

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.

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Core module materials

 

2017 Core Modules

 

Module 1: Mathematical and Technical Prerequisites

9 - 13 January 2017

Assignment due: 12 noon UK time, 13 February 2017

 

Module 2: Black-Scholes Theory

27 February - 3 March 2017

Assignment due: 12 noon UK time, 3 April 2017

 

Module 3: Extensions of the Black-Scholes Framework

24 - 28 April 2017

Assignment due: 12 noon UK time, 29 May 2017

 

Module 4: Exotic Options and Advanced Modelling Techniques

12 - 16 June 2017

Assignment due: 12 noon UK time, 17 July 2017

 

2018 Core Modules

Module 1: Mathematical and Technical Prerequisites

8 - 12 January 2018

Module 2: Black-Sholes Theory

26 February - 2 March 2018

Module 3: Extensions of the Black-Scholes Theory

23 - 27 April 2018

Module 4: Exotic Options and Advanced Modelling Techniques

11 - 15 June 2018