- Code FINM7003
- 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:
- Communicate stochastic interest rate models and use them to evaluate simple cash flow models.
- Explain the arbitrage-free approach to pricing.
- Utilise the mathematical tools required for pricing derivatives and other financial measures in this framework, such as Itô’s formula, martingales, stochastic differential equations, change of measure, and the martingale representation theorem.
- Typical assessment may include, but is not restricted to: in-tutorial quizzes, a mid-semester exam and a final exam. (null) [LO null]
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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
Prescribed texts will be posted on the course Wattle site if relevant.
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
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