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
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.
Other Information
See the course outline on the College courses page. Outlines are uploaded as they become available.
Indicative Assessment
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.
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
At least three contact hours per week.
Requisite and Incompatibility
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 |
Course fees
- Domestic fee paying students
| Year | Fee |
|---|---|
| 2016 | $3480 |
- International fee paying students
| Year | Fee |
|---|---|
| 2016 | $4638 |
Offerings, Dates and Class Summary Links
ANU utilises MyTimetable to enable students to view the timetable for their enrolled courses, browse, then self-allocate to small teaching activities / tutorials so they can better plan their time. Find out more on the Timetable webpage.
Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.
Second Semester
| Class number | Class start date | Last day to enrol | Census date | Class end date | Mode Of Delivery | Class Summary |
|---|---|---|---|---|---|---|
| 7977 | 18 Jul 2016 | 29 Jul 2016 | 31 Aug 2016 | 28 Oct 2016 | In Person | N/A |
