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Unit of study_

Financial Derivatives - MATH3075

Year - 2019

This unit will introduce you to the mathematical theory of modern finance with the special emphasis on the valuation and hedging of financial derivatives, such as: forward contracts and options of European and American style. You will learn about the concept of arbitrage and how to model risk-free and risky securities. Topics covered by this unit include: notions of a martingale and a martingale measure, the fundamental theorems of asset pricing, complete and incomplete markets, the binomial options pricing model, discrete random walks and the Brownian motion, the Black-Scholes options pricing model and the valuation and heding of exotic options. Students completing this unit have been highly sought by the finance industry, which continues to need graduates with quantitative skills. Lectures in the mainstream unit are held concurrently with those of the corresponding advanced unit.

Classes
3x1-hr lectures; 1x1-hr tutorial/wk

Assessment
2 x assignments (20%); 2-hr final exam (80%)

Pre-requisites

12 credit points of Intermediate Mathematics, including (MATH2070 or MATH2970)

Prohibitions

MATH3975 or MATH3015 or MATH3933

Details

Faculty: Science

Semester 2

05 Aug 2019

Department/School: Mathematics and Statistics Academic Operations
Study Mode: Normal (lecture/lab/tutorial) day
Census Date: 31 Aug 2019
Unit of study level: Senior
Credit points: 6.0
EFTSL: 0.125
Available for study abroad and exchange: Yes
Faculty/department permission required? No
Location
Camperdown
More details
Unit of Study coordinator: Prof Georg Gottwald
HECS Band: 2
Courses that offer this unit

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 undertake cross-institutional study in one or more units of study at the University of Sydney.

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