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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: the 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. Students enrolled in this unit at advanced level will have to undertake more challenging assessment tasks, but lectures in the advanced level are held concurrently with those of the corresponding mainstream unit.

Classes

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

Assessment

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

Credit average or greater in 12 credit points of Intermediate Mathematics (including MATH2070 or MATH2970)

ProhibitionsMATH3933 or MATH3015 or MATH3075

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

Leadership for good starts here

ABN: 15 211 513 464

CRICOS Number: 00026A

TEQSA: PRV12057