- Code FINM3003
- Unit Value 6 units
- 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
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.
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.
See the course outline on the College courses page. Outlines are uploaded as they become available.
- Five (5) written assignments over the semester: 30%
- Final Exam: 70%
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It is anticipated that students will spend on average 10 hours per week on the course, including 2 hours of lectures and 1 hour of workshops
Requisite and Incompatibility
Options, Futures, and Other Derivatives, 9th Edition.
by Hull, John C. 2014, Prentice Hall.
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:
- 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.
Offerings, Dates and Class Summary Links
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Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.
|Class number||Class start date||Last day to enrol||Census date||Class end date||Mode Of Delivery||Class Summary|
|3015||15 Feb 2016||26 Feb 2016||31 Mar 2016||27 May 2016||In Person||N/A|