Quantitative Finance and Derivatives (FINC6000)

UNIT OF STUDY

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.

Our courses that offer this unit of study

Further unit of study information

Classes

1x 3hr seminar per week

Assessment

assignment (20%), mid-semester exam (30%), final exam (50%)

Faculty/department permission required?

No

Unit of study rules

Prerequisites

FINC5001

Assumed knowledge

This unit requires students to have some background in calculus, matrices, statistics and probability.

Prohibitions

FINC5002

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.