304235 (v.3) Stochastic Financial Modelling 503

Area:

Department of Mathematics and Statistics

Contact Hours:

3.0

Credits:

25.0

Lecture:

3 x 1 Hours Weekly

Anti Requisite(s):

302374 (v.2) Stochastic Financial Modelling 403

Prerequisite(s):

302315 (v.2) Mathematical Statistics 202 or any previous version

Application and generalisation of linear statistical models. Characteristics of econometric data and securities returns data. Use of linear models in econometric prediction. Distributed lag models. Methods for time series data. Risk and return. Modernportfolio theory. Capital asset pricing model. Arbitrage Pricing Theory (multi-index) models. Option pricing. Binomial and Black Scholes models. Martingales and Stochastic differential equations.

Availability

Year	Location	Period	Internal	Area External	Central External
2003	Bentley Campus	Semester 1	Y

- Area External refers to external course/units run by the School or Department, offered online or through Web CT, or offered by research.
- Central External refers to external course/units run through the Curtin Bentley-based Distance Education Area.

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