Find us on Facebook Find us on LinkedIn Follow us on Twitter Subscribe to our YouTube channel Instagram

Unit of Study

Quantitative Finance and Derivatives
UoS Code FINC6000
Credit points 6
Offered Semester 1 and Semester 2
Prerequisites FINC5001
Corequisites
Prohibitions FINC5002
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 assignment (20%), mid-semester exam (30%), final exam (50%)
Description This unit provides students with an introduction to quantitative models and techniques in finance. Topics covered include basic stochastic calculus, probability measures and the role of numeraires, Black-Scholes and Hull-White models, and the theoretical and numerical techniques for valuing derivatives. There is a focus on both the intuitive and mathematical understanding of these topics, as well as their application to problems in quantitative finance.