• 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 UGRD
  • Course convener
    • Dr Dale Roberts
  • Mode of delivery In Person
  • Offered in First Semester 2015
    See Future Offerings

Continuous Time Finance provides an introduction to the theory and practice of derivative pricing and hedging. The aim of this course is to provide students with the mathematical skills needed for the valuation of derivatives. Focus will be on the application of results rather than their mathematical derivation. These tools will be applied to derive the famous Black-Scholes formula, to price options on currencies, and to interest-rate derivatives.

Learning Outcomes

Upon successful completion, students will have the knowledge and skills to:

  • By the end of this course students are expected to have attained a sound working knowledge of both the arbitrage-free approach to pricing and the mathematical tools required: Brownian motion, Itô’s formula, martingales, stochastic differential equations, change of measure, and the martingale representation theorem.

Other Information

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

Indicative Assessment

  • Tutorial Quiz 1 - 5%
  • Tutorial Quiz 2 - 5%
  • Mid-Sem Exam - 25%
  • Tutorial Quiz 3 - 5%
  • Final Exm - 60%

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Workload

At least three contact hours per week plus private study time.

Requisite and Incompatibility

To enrol in this course you must have completed FINM2002 and STAT3004.

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:
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
Domestic fee paying students
Year Fee
2015 $3414
International fee paying students
Year Fee
2015 $4146
Note: Please note that fee information is for current year only.

Offerings and Dates

The list of offerings for future years is indicative only

First Semester

Class number Class start date Last day to enrol Census date Class end date Mode Of Delivery Class Summary
2108 16 Feb 2015 06 Mar 2015 31 Mar 2015 29 May 2015 In Person N/A

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