• Offered by Rsch Sch of Finance, Actuarial Studies & App Stats
  • ANU College ANU College of Business and Economics
  • Course subject Financial Management
  • Areas of interest Finance
  • Academic career Undergraduate
  • Course convener
    • Dr Dale Roberts
  • Mode of delivery In Person
  • Offered in Second Semester 2018
    See Future Offerings

This course reviews advanced topics in discrete and continuous time market theory and derivatives pricing. The emphasis is on valuation and hedging and provides a more in-depth view of interest rate derivative pricing. After reviewing some classic no-arbitrage models, a range of alternative pricing models and approaches will be presented: no-arbitrage models linked to market practice, multi-factor models, the forward measure approach, and market models. This course focuses on numerical methods and calibration tools necessary for working in industry.

Learning Outcomes

  • By the end of this course students are expected to have attained a sound working knowledge of both the theory and the computational aspects of interest-rate derivatives pricing.

Other Information

See the course outline on the College courses page. Outlines are uploaded as they become available. 

Indicative Assessment

Typical assessment may include, but is not restricted to: assignments and a final exam.

The ANU uses Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. While the use of Turnitin is not mandatory, the ANU highly recommends Turnitin is used by both teaching staff and students. For additional information regarding Turnitin please visit the ANU Online website.

Workload

Students are expected to commit at least 10 hours per week to completing the work in this course. This will include at least 3 contact hours per week and up to 7 hours of private study time.

Requisite and Incompatibility

To enrol in this course you must have completed FINM3003. You are not able to enrol in this course if you have previously completed MATH3015.

Majors

Fees

Tuition fees are for the academic year indicated at the top of the page.  

If you are a domestic graduate coursework or international student you will be required to pay tuition fees. Tuition fees are indexed annually. Further information for domestic and international students about tuition and other fees can be found at Fees.

Student Contribution Band:
Band 3
Unit value:
6 units

If you are an undergraduate student and have been offered a Commonwealth supported place, your fees are set by the Australian Government for each course. At ANU 1 EFTSL is 48 units (normally 8 x 6-unit courses). You can find your student contribution amount for each course at Fees.  Where there is a unit range displayed for this course, not all unit options below may be available.

Units EFTSL
6.00 0.12500
Note: Please note that fee information is for current year only.

Offerings and Dates

The list of offerings for future years is indicative only

Second Semester

Class number Class start date Last day to enrol Census date Class end date Mode Of Delivery
7874 23 Jul 2018 30 Jul 2018 31 Aug 2018 26 Oct 2018 In Person

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