10 Credits ACADEMIC YEAR



Aims/Description: The discovery of the Capital Asset Pricing Model by William Sharpe in the 1960's and the Black-Scholes option pricing formula a decade later mark the beginning of a very fruitful interaction between mathematics and finance. The latter obtained new powerful analytical tools while the former saw its knowledge applied in new and surprising ways. (A key result used in the derivation of the Black-Scholes formula, Ito's Lemma, was first applied to guide missiles to their targets; hence the title 'rocket science' applied to financial mathematics). This course describes the mathematical ideas behind these developments together with their application in modern finance.

Staff Contact: Professor K Ohkitani
Teaching Methods: Lectures, Independent Study
Assessment: Formal Exam

Information on the department responsible for this unit (Mathematics and Statistics):

Departmental Home Page
Teaching timetable

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NOTE
The content of our courses is reviewed annually to make sure it's up-to-date and relevant. Individual modules are occasionally updated or withdrawn. This is in response to discoveries through our world-leading research; funding changes; professional accreditation requirements; student or employer feedback; outcomes of reviews; and variations in staff or student numbers. In the event of any change we'll consult and inform students in good time and take reasonable steps to minimise disruption.

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Teaching methods and assessment displayed on this page are indicative for 2021-22. Students will be informed by the academic department of any changes made necessary by the ongoing pandemic.

Western Bank, Sheffield, S10 2TN, UK