MA3607 COURSE CONTENT AND LECTURE NOTES
Differential Equations for Finance (MA3607)
The course will cover three areas
A. Basic Options Theory
B. Partial Differential Equations
C. Numerical Methods
A more detailed course content list is here
MA3607 Course Content 2015 - 2016
The course will mostly follow Prof. P. Daniels’ lecture notes. The links to the course notes are given below.
In addition I have written a few short notes on some parts of the course that students often find challenging as well as reminders of material covered last year. These notes have exercises which I would strongly encourage you to do.
Functions defined by integrals
BOOKS
The course notes contain all the information you will need for this course. However, it is often a good idea to read other sources. On the second page of the notes A. above you will find four books which you may find useful. In addition, if you want to learn more about the “financial side” of things you may find “Options, Futures, and Other Derivatives” by John Hull (Pearson) useful.
COURSE
ASSESSMENT CRITERIA
The course runs over 11 weeks; week 6 is reading week and there are no lectures then. Your final grade for the course will come from a weighted average of your exam (80% weight) and course work (20% weight). You need to get at least 40% on the coursework mark, and 40% on the exam mark to pass the course.
COURSEWORK
COMPONENT of ASSESSMENT
There will be four short class tests during the course. These will take place between 1200 and 1210 on a Monday in the week indicated by T in the table below. Each test will be marked out of 5 marks, and will be based on material covered in the course up to that point. The four tests will together count for 10% of your final grade.
This year’s coursework questions are given below
The written work is to be handed in to the SMCSE UG office (A302) by 12 noon on the 23th of November. This is indicated by W in the table below. The written work will count for 10% of your final grade.
|
Lecture Dates |
28/9 , 30/9 |
5/10, 7/10 |
12/10, 14/10 |
19/10, 21/10 |
26/10, 28/10 |
2/11, 4/11 |
9/11, 11/11 |
16/11, 18/11 |
23/11, 25/11 |
30/11, 2/12 |
7/12, 9/12 |
|
Week |
1 |
2 |
3 |
4 |
5 |
6 |
7 |
8 |
9 |
10 |
11 |
|
Assessment |
|
|
T |
|
T |
|
|
T |
W |
T |
|
EXAM
COMPONENT of ASSESSMENT
The exam will take place in January and will be two hours long. It will have four questions, each 20 marks, of which you have to answer 3. The exam will constitute 80% of your mark.
FEEDBACK
A description of the assessment and feedback for this course can be found in the file below
MA3607 Assessment Feedback
form
PROBLEM SHEETS
Problem sheets for the course are given below. You should attempt to solve as many of these as you can.
PAST EXAM PAPERS AND SOLUTIONS
Past exam papers are available on the Moodle page for this course. Here are some solutions