- Code FINM3007
- 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
- Academic career UGRD
- Dr Dale Roberts
- Mode of delivery In Person
Second Semester 2016
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.
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 theory and the computational aspects of interest-rate derivatives pricing.
See the course outline on the College courses page. Outlines are uploaded as they become available.
The assessment for this course is proposed to be made on the following basis: A final examination (75%) and 6 assignments, assessed fortnightly throughout the semester. The best 5 assignments will be worth 5% of the total mark each, the lowest mark will be dropped.
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At least three contact hours per week.
Requisite and Incompatibility
Tuition fees are for the academic year indicated at the top of the page.
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- 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 start date
|Last day to enrol
|Class end date
|Mode Of Delivery
|18 Jul 2016
|29 Jul 2016
|31 Aug 2016
|28 Oct 2016