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.