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 | ||||||||||||||||||||||||
Prerequisite(s): |
1234 (v.4) Economics 100 or any previous version AND 12607 (v.3) Finance (Principles) 215 or any previous version AND 302315 (v.2) Mathematical Statistics 202 or any previous version |
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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 (MRT) and five-step method. Arbitrage-free pricing and the five-step method with the Black-Scholes model. Interest rate models. | ||||||||||||||||||||||||
** 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: | 081103 Insurance and Actuarial Studies | ||||||||||||||||||||||||
Funding Cluster: | 02 - Accounting, Administration, Economics, Commerce | ||||||||||||||||||||||||
SOLT (Online) Definitions*: | Informational *Extent to which this unit or thesis utilises online information | ||||||||||||||||||||||||
Result Type: | Grade/Mark | ||||||||||||||||||||||||
Availability |
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