UCL School of Management

Module Fact Sheet

MSING068: Advanced Derivatives Modelling and Portfolio Theory


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This is a past version of this module for MSING068 17/18.
Click here for the current version.
Taught by
Wei Cui
Yes, MSING063 Asset Pricing
MSc Finance students only
Delivery method
3-hour lecture (x 10 weeks)
Unseen examination (2 hours)  80%
Group coursework 20%

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 I. We will cover stochastic calculus and its implication in finance, and financial market frictions.

We will introduce students to the modern advance theory of asset pricing and portfolio theory and its application. We will also cover financial market imperfections and its implication in asset pricing. 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%

Past versions of this module

MSIN0107 18/19

MSING068 17/18

Last updated Friday, 27 September 2019