- 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
This course involves on-campus teaching. For students not on campus, there will be a remote option in Sem 1. See Class Summary or Wattle for details.
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]
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.
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
If you 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). More information about your student contribution amount for each course at Fees.
- Student Contribution Band:
- Unit value:
- 6 units
If you are a domestic graduate coursework student with a Domestic Tuition Fee (DTF) place or international student you will be required to pay course tuition fees (see below). Course tuition fees are indexed annually. Further information for domestic and international students about tuition and other fees can be found at Fees.
Where there is a unit range displayed for this course, not all unit options below may be available.
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.