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Unit of study_

Quantitative Finance and Derivatives - FINC6000

Year - 2019

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.

Classes
1x 3hr seminar per week

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

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

Pre-requisites

FINC5001

Prohibitions

FINC5002

Details

Faculty: Business (Business School)

Semester 1

25 Feb 2019

Department/School: Finance
Study Mode: Normal (lecture/lab/tutorial) day
Census Date: 31 Mar 2019
Unit of study level: Postgraduate
Credit points: 6.0
EFTSL: 0.125
Available for study abroad and exchange: Yes
Faculty/department permission required? No
Location
Camperdown
Faculty: Business (Business School)

Semester 2

05 Aug 2019

Department/School: Finance
Study Mode: Normal (lecture/lab/tutorial) day
Census Date: 31 Aug 2019
Unit of study level: Postgraduate
Credit points: 6.0
EFTSL: 0.125
Available for study abroad and exchange: Yes
Faculty/department permission required? No
Location
Camperdown
Faculty: Business (Business School)

Semester 1

25 Feb 2019

Department/School: Finance
Study Mode: Normal (lecture/lab/tutorial) evening
Census Date: 31 Mar 2019
Unit of study level: Postgraduate
Credit points: 6.0
EFTSL: 0.125
Available for study abroad and exchange: Yes
Faculty/department permission required? No
Location
Camperdown
Faculty: Business (Business School)

Semester 2

05 Aug 2019

Department/School: Finance
Study Mode: Normal (lecture/lab/tutorial) evening
Census Date: 31 Aug 2019
Unit of study level: Postgraduate
Credit points: 6.0
EFTSL: 0.125
Available for study abroad and exchange: Yes
Faculty/department permission required? No
Location
Camperdown
Courses that offer this unit

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