Financial Mathematics (MATH3075)
UNIT OF STUDY
This unit is an introduction to the mathematical theory of modern finance. Topics include: notion of arbitrage, pricing riskless securities, risky securities, utility theory, fundamental theorems of asset pricing, complete markets, introduction to options, binomial option pricing model, discrete random walks, Brownian motion, derivation of the Black-Scholes option pricing model, extensions and introduction to pricing exotic options, credit derivatives. A strong background in mathematical statistics and partial differential equations is an advantage, but is not essential. Students completing this unit have been highly sought by the finance industry, which continues to need graduates with quantitative skills. The lectures in the Normal unit are held concurrently with those of the corresponding Advanced unit.
Further unit of study information
Three 1 hour lectures and one 1 hour tutorial per week.
Two class quizzes and one 2 hour exam (100%)
Faculty/department permission required?
Unit of study rules
Prerequisites and assumed knowledge
12 credit points of Intermediate Mathematics, including MATH2070 or MATH2970
MATH3975, MATH3933, MATH3015
Study this unit outside a degree
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.
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.