Mathematical Finance (FINC3021)

UNIT OF STUDY

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.

Further unit of study information

Classes

1x 2hr lecture and 1x 1hr tutorial per week; Additional workshops as required.

Assessment

Final (50%), mid semester (25%), assignment (25%)

Faculty/department permission required?

No

Unit of study rules

Prerequisites and assumed knowledge

FINC2012 or FINC2002

Assumed knowledge: HSC 3 Unit mathematics

Prohibitions

FINC2013

Study this unit outside a degree

Non-award/non-degree study

If you wish to undertake one or more units of study (subjects) for your own interest but not towards a degree, you may enrol in single units as a non-award student.

Cross-institutional study

If you are from another Australian tertiary institution you may be permitted to underake cross-institutional study in one or more units of study at the University of Sydney.