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.
2017 Core Modules
9 - 13 January 2017
Assignment due: 12 noon UK time, 13 February 2017
27 February - 3 March 2017
Assignment due: 12 noon UK time, 3 April 2017
24 - 28 April 2017
Assignment due: 12 noon UK time, 29 May 2017
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