MT4551 Financial Mathematics

2025 to 2026 Semester 2

Curricular information may be subject to change

Further information on which modules are specific to your programme.

Key module information

SCOTCAT credits

The Scottish Credit Accumulation and Transfer (SCOTCAT) system allows credits gained in Scotland to be transferred between institutions. The number of credits associated with a module gives an indication of the amount of learning effort required by the learner. European Credit Transfer System (ECTS) credits are half the value of SCOTCAT credits.

SCQF level

SCQF level 10

The Scottish Credit and Qualifications Framework (SCQF) provides an indication of the complexity of award qualifications and associated learning and operates on an ascending numeric scale from Levels 1-12 with SCQF Level 10 equating to a Scottish undergraduate Honours degree.

Availability restrictions

Not automatically available to General Degree students

Planned timetable

10.00 am Mon (weeks 1, 3, 5, 7, 9, 12), Wed and Fri

This information is given as indicative. Timetable may change at short notice depending on room availability.

Module coordinator

Prof D H Mackay

This information is given as indicative. Staff involved in a module may change at short notice depending on availability and circumstances.

Module Staff

Prof Duncan Mackay

This information is given as indicative. Staff involved in a module may change at short notice depending on availability and circumstances.

Module description

Students are introduced to the application of mathematical models to financial instruments. The course will include an overview of financial markets and the terminology in common usage but the emphasis will be on the mathematical description of risk and return as a means of pricing contracts and options.

Relationship to other modules

Pre-requisites

BEFORE TAKING THIS MODULE YOU MUST PASS MT3504 AND ( PASS MT2504 OR PASS EC2203 OR PASS PH3012 )

Assessment pattern

2-hour Written Examination = 100%

Re-assessment

Oral examination = 100%

Learning and teaching methods and delivery

Weekly contact

2.5 lectures (weeks 1 - 10) and 1 tutorial (weeks 2 - 11).

Scheduled learning hours

The number of compulsory student:staff contact hours over the period of the module.

Guided independent study hours

115

The number of hours that students are expected to invest in independent study over the period of the module.

Intended learning outcomes

Understand the properties of a range of financial instruments from shares to financial derivatives
Develop a basic understanding of stochastic processes and how they can be applied to value financial instruments
Understand the approximations and limitations and be able to derive the Black-Scholes Equation
Be able to solve the Black-Scholes Equation both analytically and numerically for a range of financial derivatives