School of Mathematics, CSE

Module

Financial Mathematics (Y3/4)

Academic year

2025-2026

Notes

Delivery in mathematical finance topics.

DRPS entry (2025-26)

• Course: 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/25-26/dpt/cxmath10003.htm
• Summary: Introductory finance course covering no-arbitrage pricing, discrete-time models, and core continuous-time ideas (including Black-Scholes).

DRPS synthesis

Learning objectives

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

Course content

• Financial contracts, value of money, and arbitrage-free pricing concepts.
• Binomial market models and valuation of European/American-style contracts.
• Introduction to Brownian motion, Ito tools, SDEs, and Black-Scholes framework.

Assessment profile

• 100% written exam.
• No coursework weighting.