| Unit name | Financial Risk Management |
|---|---|
| Unit code | MATH30014 |
| Credit points | 20 |
| Level of study | H/6 |
| Teaching block(s) |
Teaching Block 1 (weeks 1 - 12) |
| Unit director | Dr. Jonty Rougier |
| Open unit status | Not open |
| Pre-requisites |
Calculus 1 (MATH11007), Linear Algebra & Geometry (MATH11005), Analysis 1A (MATH10003), Analysis 1B (MATH10006), Probability 1 (MATH11300), Statistics 1 (MATH11400) |
| Co-requisites |
None |
| School/department | School of Mathematics |
| Faculty | Faculty of Science |
To explore financial risk management in a variety of settings, including: cash flows, casinos, racetracks, betting exchanges, financial market
To develop some of the key tools for better risk management, including: discounting, heuristics, expected wealth maximization, utility theory, influence diagrams, decision trees, stochastic dynamical programming.
Students will acquire a collection of concepts for reasoning quantativly about uncertainty
Students will learn specific techniques including dynamic stochastic optimisation
Students will understand the mathematical structure of some common financial exchanges and products
Students will acquire an appreciation for the value of mathematics when managing risk.
Lectures, formative homework and office hours
100% examination
Raw scores on the examinations will be determined according to the marking scheme written on the examination paper. The marking scheme, indicating the maximum score per question, is a guide to the relative weighting of the questions. Raw scores are moderated as described in the Undergraduate Handbook.
R.T. Clemen, 1996, Making Hard Decisions: An Introduction to Decision Analysis, 2nd edn, Duxbury Press
J.C. Hull, 2015, Options, Futures, and Other Derivatives, 9th edn, Pearson Education, Inc
S.M. Ross, 1983, Introduction to Stochastic Dynamic Programming, Academic Press, Inc
