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.


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