311629 (v.2) Investment Science 302
| Area: | Department of Mathematics and Statistics |
|---|---|
| Credits: | 25.0 |
| Contact Hours: | 4.0 |
| TUITION PATTERNS: | The tuition pattern provides details of the types of classes and their duration. This is to be used as a guide only. Precise information is included in the unit outline. |
| Lecture: | 2 x 1 Hours Weekly |
| Tutorial: | 1 x 1 Hours Weekly |
| Workshop: | 1 x 1 Hours Weekly |
| Prerequisite(s): |
310529 (v.1)
Actuarial Economics 301
or any previous version
OR 311628 (v.2) Investment Science 301 or any previous version |
| UNIT REFERENCES, TEXTS, OUTCOMES AND ASSESSMENT DETAILS: | The most up-to-date information about unit references, texts and outcomes, will be provided in the unit outline. |
| Syllabus: | The aim of this unit is to develop necessary skills involving stochastic calculus and risk-neutral pricing to calculate arbitrage-free prices of default-free bonds, interest rate derivatives, corporate bonds, equity derivatives, property derivatives, FX derivatives and exotic derivatives. Various concepts such as the stochastic calculus, Binomial Pricing Model, Black-Scholes Option Pricing Formula, option greeks, dynamic hedging, Jarrow-Lando-Turnbull Credit Risk Model and Monte-Carlo Simulation are covered in the course. |
| Field of Education: | 010103 Statistics |
| Result Type: | Grade/Mark |
Availability
| Year | Location | Period | Internal | Partially Online Internal | Area External | Central External | Fully Online |
|---|---|---|---|---|---|---|---|
| 2014 | Bentley Campus | Semester 2 | Y |
Area External refers to external course/units run by the School or Department or offered by research.
Central External refers to external and online course/units run through the Curtin Bentley-based Distance Education Area
Partially Online Internal refers to some (a portion of) learning provided by interacting with or downloading pre-packaged material from the Internet but with regular and ongoing participation with a face-to-face component retained. Excludes partially online internal course/units run through the Curtin Bentley-based Distance Education Area which remain Central External
Fully Online refers to the main (larger portion of) mode of learning provided via Internet interaction (including the downloading of pre-packaged material on the Internet). Excludes online course/units run through the Curtin Bentley-based Distance Education Area which remain Central External
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