• Offered by Rsch Sch of Finance, Actuarial Studies & App Stats
  • ANU College ANU College of Business and Economics
  • Classification Advanced
  • Course subject Financial Management
  • Areas of interest Finance
  • Academic career PGRD
  • Course convener
    • Dr Fei Huang
  • 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 interest-rate derivatives.

Learning Outcomes

Upon successful completion, students will have the knowledge and skills to:

  1. Communicate stochastic interest rate models and use them to evaluate simple cash flow models.
  2. Explain in detail the arbitrage-free approach to pricing.
  3. Utilise the mathematical tools required for pricing derivatives and other financial measures in this framework, such as Ito’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: exams, assignments, quizzes, presentations and other assessment as appropriate (100) [LO 1,2,3]

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Workload

Students are expected to commit 130 hours of work in completing this course. This includes time spent in scheduled classes and self-directed study time

Inherent Requirements

Not applicable

Requisite and Incompatibility

To enrol in this course you must have completed FINM7041 and STAT7004. Incompatible with FINM3003.

Prescribed Texts

Information about the prescribed textbook will be available via the Class Summary

Specialisations

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, Dates and Class Summary Links

The list of offerings for future years is indicative only.
Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.

First Semester

Class number Class start date Last day to enrol Census date Class end date Mode Of Delivery Class Summary
2383 24 Feb 2020 02 Mar 2020 31 Mar 2020 29 May 2020 In Person N/A

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