UCL School of Management

Module Fact Sheet

MSIN0107: Advanced Derivatives Modelling and Portfolio Theory

Taught by
Wei Cui
Level
Masters, level 7
Prerequisites
Yes, MSIN0103 Asset Pricing
Eligibility
MSc Finance students only
Terms
2
Delivery method
3-hour lecture (x 10 weeks)
Assessment
Unseen examination (2 hours)  80%
Group coursework 20%
Previous Module Code
MSING068

Course overview

The aim of this course is to develop students knowledge on more technical aspects of modern theory of asset pricing, portfolio theory, and derivatives pricing. It is a follow-up for Asset Pricing. We will cover stochastic calculus and its implication in finance.

We will introduce students to the modern advance theory of asset pricing and portfolio theory and its application.  Students will learn how to price derivatives using modern financial language.

Learning outcomes

  • A good understanding of stochastic calculus and Wiener process
  • Fluency in applying various methods in pricing derivatives
  • A basic knowledge of complete markets and equilibrium asset pricing 
  • Well understanding of potential financial market frictions and their implication on asset prices

Assessment summary

Unseen examination (2 hours)  80% Group coursework 20%

Current students should refer to Moodle for specific details of the current year’s assessment.

Past versions of this module

MSIN0107 18/19

MSING068 17/18

Last updated Wednesday, 26 June 2019