Market Risk and Portfolio Theory (MATH0094)

Key information

Faculty: Faculty of Mathematical and Physical Sciences
Teaching department: Mathematics
Credit value: 15

Restrictions: N/A
Timetable

Alternative credit options

There are no alternative credit options available for this module.

Description

Risk is an intrinsic element in financial markets. Its quantitative modelling and understanding is a cornerstone of modern financial theory, as it is essential to many activities like choosing investment strategies, calculating capital requirements and creating new financial products.

This module aims to study quantitatively (by using several mathematical tools from probability, optimisation, linear algebra,...) the effects of market risk under some modelling assumptions. We will pay particular attention to the effects associated to decision making for investors and regulators. Important aspects related to the implementation of these concepts will be highlighted.

Module deliveries for 2024/25 academic year

Intended teaching term: Term 1 听听听 Postgraduate (FHEQ Level 7)

Teaching and assessment

Mode of study: In person
Methods of assessment: 80% Exam

20% In-class activity
Mark scheme: Numeric Marks

Other information

Number of students on module in previous year: 79
Module leader: Dr Camilo Garcia Trillos
Who to contact for more information: maths.mscteaching@ucl.ac.uk

Last updated

This module description was last updated on 8th April 2024.

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Important information

The catalogue has been updated with key information about the modules that will run during the 2024/25 academic session. Current and prospective students can browse through the catalogue to consider possible module choices for the coming year.

Please note,听information in the catalogue is听subject to change as teaching and assessment arrangements for 2024/25 may need to be adjusted in line with the University's Feedback and Assessment principles and operating model.

Centrally managed exam durations will be provided on students' individual exam timetables. Arrangements for locally managed exams and in-class activity will be confirmed by the teaching department for the module.

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