2014 Unit of Study

The session(s) below are for 2014. For Summer School 2014 unit of study availability please visit the Summer School website (main Summer session January/February 2014).

The University of Sydney session calendar shows exact dates for sessions.

Mathematical Finance
UoS Code FINC3021
Credit points 6
Offered Semester 1
Prerequisites FINC2012 or FINC2002
Corequisites
Prohibitions FINC2013
Assumed Knowledge Assumed knowledge: HSC 3 Unit mathematics
Additional Information This is a useful subject for students contemplating going on to study at honours level and/or undertake subsequent research degrees.
Lectures 1x 2hr lecture and 1x 1hr tutorial per week; Additional workshops as required.
Assessment Final (50%), mid semester (25%), assignment (25%)
Description The aim of this unit is to provide students with a thorough understanding of some standard financial models from a mathematical perspective. Many of the greatest innovations in finance have been mathematical in nature and it is our aim to study the models along those lines. Specifically, we will concern ourselves with portfolio theory, CAPM, fundamental theorems of asset pricing and derivative valuation through the Black-Scholes and binomial models. Though some topics may appear familiar from previous courses, we will undertake a more quantitative approach to these models, starting from first principles, which will provide a greater depth of understanding. While the background mathematics will be taught as part of this unit, students are expected to be competent with basic mathematics.
5220