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.

Quantitative Finance
UoS Code FINC6000
Credit points 6
Offered Semester 1 and Semester 2
Prerequisites Prerequisite: Assumed knowledge: This unit requires students to have some background in calculus, matrices, statistics and probability., FINC5001
Corequisites
Prohibitions FINC5002
Assumed Knowledge Prerequisite: Assumed knowledge: This unit requires students to have some background in calculus, matrices, statistics and probability.
Additional Information
Lectures 1x 3hr seminar per week
Assessment mid-term exam (20%), group assignment (20%), and final exam (60%)
Description The principle objective of this unit is to provide students with an introductory treatment of quantitative finance. Students are exposed to the following key areas: consumption-based models; utility theory and mean-variance utility; choice under uncertainty; stochastic dominance; state-preference theory; theory of portfolio selection; risk neutral pricing; CAPM and arbitrage pricing theory (APT). Related mathematical tools are also covered. A selection of special topics on practising financial theory in real life valuation or competition are also discussed.
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