Risk-Neutral Asset Pricing, 2016-17

David Siska, School of Mathematics, Room 4611.

Useful to know

The course timetable is here: timetable. At the moment it's incorrect and you should use the MSc timetable.

The course details are here: course details.

The course Path page is here: course Path page.

The office hours are: Mondays 3-5pm in JCMB Room 4611.

Preliminary lecture notes

There are some notes to accompany the lectures. Not all the details discussed in the lectures will appear in the notes.

There are mistakes in the lecture notes. Please report those to me! I will keep track of who reported how many mistakes and the "winner" will be announced after the exam. If anything is not clear, ask.

Mistakes found so far:


The course assessment is 80% exam and 20% continuous assessment. The exam takes place in May and all exam questions count towards final mark. The continuous assessment comprises two tests. Test 1: Wednesday 1st February 3pm JCMB LT-B worth 5%. Test 2: Monday 6th March 4pm JCMB LT-B worth 15%.


Here are some books that might be useful in the course. They were chosen partly because you can download them through the library website (you might need to use a university computer for this).

Other internet sources

Mark Davis - Mathematical Option Pricing. These are really excellent notes and I much recommend reading them!