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The aim of Financial Mathematics is to establish a theoretical background for building models of securities markets and provides computational techniques for pricing financial derivatives and risk assessment and mitigation. Specialists in Financial Mathematics are widely sought after by major investment banks, hedge funds and other, government and private, financial institutions worldwide. This course is foundational for honours and masters programs in Financial Mathematics. Its aim is to introduce the basic concepts and problems of securities markets and to develop theoretical frameworks for pricing financial products and hedging the risk associated with them. This unit will focus on two ideas that are fundamental for Financial Mathematics. You will learn how the concept of arbitrage and the concept of martingale measure provide a unified approach to a large variety of seemingly unrelated problems arising in practice. You will also learn how to use the wide range of tools required by Financial Mathematics, including stochastic calculus, partial differential equations, optimisation and statistics. By doing this unit, you will learn how to formulate problems that arise in finance as mathematical problems and how to solve them using the concepts of arbitrage and martingale measure.
Study level | Undergraduate |
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Academic unit | Mathematics and Statistics Academic Operations |
Credit points | 6 |
Prerequisites:
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MATH2XXX and (a mark of 65 or above in MATH3XXX or STAT3021 or STAT3921) |
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Corequisites:
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None |
Prohibitions:
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None |
Assumed knowledge:
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Familiarity with basic probability (eg STAT2X11), with differential equations (eg MATH3X63, MATH3X78), achievement at credit level or above in MATH3XXX or STAT3XXX units or equivalent |
At the completion of this unit, you should be able to:
This section lists the session, attendance modes and locations the unit is available in. There is a unit outline for each of the unit availabilities, which gives you information about the unit including assessment details and a schedule of weekly activities.
The outline is published 2 weeks before the first day of teaching. You can look at previous outlines for a guide to the details of a unit.
Session | MoA ? | Location | Outline ? |
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Semester 1 2024
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Normal day | Camperdown/Darlington, Sydney |
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Session | MoA ? | Location | Outline ? |
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Semester 1 2025
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Normal day | Camperdown/Darlington, Sydney |
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Session | MoA ? | Location | Outline ? |
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Semester 1 2020
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Normal day | Camperdown/Darlington, Sydney |
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Semester 1 2021
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Normal day | Camperdown/Darlington, Sydney |
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Semester 1 2021
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Normal day | Remote |
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Semester 1 2022
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Normal day | Camperdown/Darlington, Sydney |
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Semester 1 2022
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Normal day | Remote |
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Semester 1 2023
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Normal day | Camperdown/Darlington, Sydney |
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Semester 1 2023
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Normal day | Remote |
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This refers to the Mode of attendance (MoA) for the unit as it appears when you’re selecting your units in Sydney Student. Find more information about modes of attendance on our website.