- Code FINM6006
- 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 interest-rate derivatives.
Upon successful completion, students will have the knowledge and skills to:
- Communicate (in written form) stochastic interest rate models and use them to evaluate simple cash flow models.
- Explain in detail the arbitrage-free approach to pricing.
- 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.
- 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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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.
Requisite and Incompatibility
Information about the prescribed textbook will be available via the Class Summary.
Tuition fees are for the academic year indicated at the top of the page.
Commonwealth Support (CSP) Students
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- 6 units
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