Area: | Department of Mathematics and Statistics |
Credits: | 25.0 |
Contact Hours: | 3.0 |
Lecture: | 3 x 1 Hours Weekly |
Anti Requisite(s): | 304235 (v.3) Stochastic Financial Modelling 503
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Prerequisite(s): | 302315 (v.2) Mathematical Statistics 202 or any previous version
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Syllabus: | Introduction to different areas of financial modeling. Financial Markets, Option pricing; Binomial and Black Scholes model. Portfolio models, Stochastic Integration theory; Change of measure, General stochastic calculus approach to discrete and continuous time finance. |
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Unit Outcomes: | To introduce students to the application of linear statistical models in econometric prediction, portfolio management and option pricing. |
Texts and references listed below are for your information only and current as of September 30, 2003. Some units taught offshore are modified at selected locations. Please check with the unit coordinator for up-to-date information and approved offshore variations to unit information before finalising study and textbook purchases. |
Unit References: | Benjamin Czaczkes (2000) Financial modeling / Simon Benninga ; with a section on Visual Basic for Applications Cambridge, Mass. : MIT Press, 2nd ed. Damien Lamberton and Bernard Lapeyre (1996) Introduction to stochastic calculus applied to finance / by; translated London : Chapman & Hall. by John Y. Campbell, Andrew W. Lo, and A. Craig MacKinlay (1997) The econometrics of financial markets Princeton, N.J. : Princeton University Press. |
Unit Texts: | T. Mikosch, (1998) Elementary Stochastic Calculus with Finance in View - Advanced series on Statistical Science and Applied Probability, Volume 6. |
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Unit Assessment Breakdown: | Weekly Exercises 15%. Assignment (3) 30%. Final Exam 55%. This is by grade/mark assessment. |
Field of Education: | 10100 Mathematical Sciences (Narrow Grouping) | HECS Band (if applicable): | 2 |
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Extent to which this unit or thesis utilises online information: | Not Online | Result Type: | Grade/Mark |
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Availability
| Year | Location | Period | Internal | Area External | Central External | | 2004 | 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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