• 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
    • Prof Ross Maller
  • Mode of delivery In Person
  • Co-taught Course
  • Offered in First Semester 2020
    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:

  1. Communicate the basics of stochastic interest rate models and use them to evaluate simple cash flow models.
  2. Define the arbitrage-free approach to pricing.
  3. Utilise the mathematical tools required for pricing derivatives in this framework, such as Itô’s formula, martingales, stochastic differential equations, change of measure, and the martingale representation theorem.

Indicative Assessment

  1. Typical assessment may include, but is not restricted to: written assignments and a final exam. (null) [LO null]

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

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.

Inherent Requirements

Not applicable

Requisite and Incompatibility

To enrol in this course you must have previously completed FINM2002, and either STAT2005 or STAT3004. Incompatible with FINM7003.

Prescribed Texts

Options, Futures, and Other Derivatives, 9th Edition. 

by Hull, John C. 2014, Prentice Hall.

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
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
2457 24 Feb 2020 02 Mar 2020 31 Mar 2020 29 May 2020 In Person N/A

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