Module description
Syllabus
Optimal investment and valuation of contingent claims in incomplete financial markets with transaction costs, illiquidity effects and portfolio constraints. Basic properties of convex sets and functions. Convex duality, martingale measures, state-price densities and model calibration will also be discussed.
Prerequisites
Students are normally expected to have taken 7CCMFM01.
Assessment details
Assessment
2 hr written examination or alternative assessment
Educational aims & objectives
This module aims to give students an understanding of the main issues in the valuation and hedging of financial products in incomplete markets and to give them an introduction to convex analysis relevant in mathematical analysis of such problems.
Teaching pattern
Two hours of lectures per week, one hour of tutorial per week
Suggested reading list
Suggested reading/resources (Link to My Reading Lists)