Courses Handbook 2010

311630 (v.2) Investment Science 502


Area: Department of Mathematics and Statistics
Credits: 25.0
Contact Hours: 4.0
** The tuition pattern below provides details of the types of classes and their duration. This is to be used as a guide only. For more precise information please check your unit outline. **
Lecture: 1 x 3 Hours Weekly
Tutorial: 1 x 1 Hours Weekly
Syllabus: Stochastic models of security prices. An introduction to derivatives, the Greeks and the binomial model. The Black-Scholes option pricing formula. The marginal rate of transformation and five-step method. Arbitrage-free pricing and the five-step method with the Black-Scholes model. Interest rate models. Property derivatives. Exotic structures in credit derivatives. Currency options extended to barrier options using Monte Carlo valuation processes.
** To ensure that the most up-to-date information about unit references, texts and outcomes appears, they will be provided in your unit outline prior to commencement. **
Field of Education: 010103 Statistics
SOLT (Online) Definitions*: Informational
*Extent to which this unit or thesis utilises online information
Result Type: Grade/Mark

Availability

Availability Information has not been provided by the respective School or Area. Prospective students should contact the School or Area listed above for further information.

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