School of Mathematics, CSE

Module

Mathematical Finance (Y3/4)

Academic year

2024-2025

Notes

Senior undergraduate module in finance and modelling.

DRPS entry (2024-25)

• DRPS title: Financial Mathematics (MATH10003)
• School/College: School of Mathematics, College of Science and Engineering
• Level/Credits: SCQF 10, 10 credits (ECTS 5)
• Course start: Semester 2
• DRPS URL: https://www.drps.ed.ac.uk/24-25/dpt/cxmath10003.htm
• Summary: Introductory finance module covering no-arbitrage, binomial option pricing, and core stochastic finance methods.

Note: This page uses the working label “Mathematical Finance”, while DRPS records the module title as “Financial Mathematics”.

DRPS synthesis

Learning objectives

• Understand core financial instruments and no-arbitrage pricing principles.
• Apply probability methods to option pricing in discrete-time settings.
• Develop foundational understanding of stochastic calculus and Black-Scholes modelling.

Course content

• Foundations of financial markets, contracts, value of money, and arbitrage concepts.
• Binomial tree modelling and valuation of standard derivatives.
• Introductory stochastic analysis and continuous-time finance (including Black-Scholes).

Assessment profile

• 100% written exam.
• No coursework weighting.