FM102 Half Unit
Quantitative Methods for Finance
This information is for the 2023/24 session.
Prof Dimitri Vayanos
This course is compulsory on the BSc in Finance. This course is not available as an outside option nor to General Course students.
Students must have completed Methods in Calculus and Linear Algebra (MA108).
The main aim of this course is to help students connect the mathematical tools that they have acquired in previous courses, including MA108, with the economics and financial models that they will be covering in their subsequent courses. Additional mathematical tools will be covered as well. All mathematical material will be covered in the context of economic and financial models.
The mathematical material covered includes (i) linear algebra, vector spaces, matrices, eigenvalues and eigenvectors, (ii) derivatives, integrals, partial derivatives, and implicit functions, (iii) unconstrained and constrained optimization, (iv) probability distributions, conditional probability, expectation and regression, (v) stochastic calculus, Ito processes and Ito’s lemma, and (vi) differential equations and partial differential equations.
The economics and financial models covered include (i) expectation and present value of uncertain cashflows, (ii) pricing of government bonds and other fixed-income securities, (iii) pricing of options and other derivatives, (iv) utility maximization and portfolio choice, (v) financing decisions by firms, and (vi) trading games between agents with public or private information.
33 hours of seminars in the WT.
This course is taught in the interactive lecturing format. There is no distinction between lectures and classes/seminars; there are “sessions” only, and the pedagogical approach in each session is interactive.
Weekly homework assignments.
Mathematics for economists, Carl Simon and Lawrence Blume, W.W. Norton & Company, International Student Edition.
Continuous assessment (100%) in the WT
Total students 2022/23: Unavailable
Average class size 2022/23: Unavailable
Capped 2022/23: No
Value: Half Unit
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Personal development skills
- Problem solving
- Application of numeracy skills
- Specialist skills