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Financial Mathematics (Advanced)

MATH3975

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. Students enrolled in this unit at the Advanced level will be expected to undertake more challenging assessment tasks. The lectures in the Advanced unit are held concurrently with those of the corresponding Normal unit.

Unit of study details

Unit of study level: Senior

Credit points: 6

Commencing semesters: 2

Further unit of study information

Unit of study handbook: MATH3975

Costs and scholarships information: Costs and Scholarships

Final dates to withdraw from units of study: Census Dates

Available for study abroad and exchange: Yes

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