2013 Unit of Study
The session(s) below are for 2013. For Summer School 2013 unit of study availability please visit the Summer School website (main Summer session January/February 2013).
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 | FINC5001 |
| Corequisites | |
| Prohibitions | FINC5002 |
| Assumed Knowledge | This unit requires students to have some background in calculus, matrix, statistics and probability. |
| Additional Information | |
| Lectures | 1x 3hr seminar per week |
| Assessment | Mid-term exam (20%); Group assignment (20%); 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 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 by this course. A selection of special topics on practising financial theory in real life valuation or competition are also discussed. |