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Module Specifications

Current Academic Year 2012 - 2013
Please note that this information is subject to change.

Module Title Stochastic Finance
Module Code MS405M
School School of Mathematics
Online Module Resources

Module Co-ordinatorSemester 1: Paolo Guasoni
Semester 2: Paolo Guasoni
Autumn: Paolo Guasoni
Module TeacherPaolo Guasoni
NFQ level 8 Credit Rating 0
Pre-requisite None
Co-requisite None
Compatibles None
Incompatibles None
Description
This course covers the mathematical methods of asset pricing, with emphasis on continuous-time models. Arbitrage, trading strategies, market completeness.Portfolio choice in complete and incomplete markets. Myopic and hedging demand. Derivatives pricing: risk-neutral pricing and risk premia.

Learning Outcomes
1. Master Asset Pricing models
2. Price Financial Derivatives
3. Solve Portfolio Choice Problems



Workload Full-time hours per semester
Type Hours Description
Lecture36Classes
Examination3Final Exam
Seminars5Attendance to Research Seminars
Independent learning time150Independent work on textbooks and related papers
Total Workload: 194

All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml

Indicative Content and Learning Activities
Arbitrage.
Asset Pricing.

Portfolio Choice.
Assessment Breakdown
Continuous Assessment0% Examination Weight100%
Course Work Breakdown
TypeDescription% of totalAssessment Date
Reassessment Requirement
Resit arrangements are explained by the following categories;
1 = A resit is available for all components of the module
2 = No resit is available for 100% continuous assessment module
3 = No resit is available for the continuous assessment component
This module is category 1
Indicative Reading List
  • Hans Fںollmer, Alexander Schied: 0, Stochastic finance, 3110183463
  • Darrell Duffie: 2001, Dynamic asset pricing theory, Princeton University Press, Princeton, N.J., 978-0691090221
Other Resources
None
Array
Programme or List of Programmes
MFMMSc in Financial Mathematics
Timetable this semester: Timetable for MS405M
Date of Last Revision27-MAY-10
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