FINM3003 Continuous Time Finance
Later Year Course
| Offered By | School of Finance and Applied Statistics |
|---|---|
| Academic Career | Undergraduate |
| Course Subject | Financial Management |
| Offered in | First Semester, 2009 and First Semester, 2010 |
| Unit Value | 6 units |
| Course Description |
This course is directed at students pursuing advanced studies in finance wishing to gain an understanding of stochastic processes and their application in finance. Topics include: introduction to stochastic calculus; continuous time concepts; applications to asset pricing and derivatives; hedging principles. |
| Learning Outcomes | At least an average of 65% (or equivalent) in the final two years of an Australian undergraduate degree with at least one year of university level study in quantitative analysis, including basic mathematics and data analysis techniques. |
| Indicative Assessment |
Take-home mid term exam worth 30%. This exam will be styled like an assignment, with 6 questions with an expected completion time of around 3 hours. Final Examination (worth 70%) |
| Workload |
At least three contact hours per week plus private study time. |
| Areas of Interest | Finance |
| Requisite Statement |
FINM2002 Financial Instruments and Risk Management and STAT3004 Stochastic Modelling. Note: Students in the final year of the Bachelor of Finance and completing the Quantitative Finance major are permitted to enrol in STAT3004 Stochastic Modelling and FINM3003 Continuous Time Finance concurrently. |
| Prescribed Texts | See Course Outline: http://ecocomm.anu.edu.au/courses/outline/FINM3003.pdf |
| Preliminary Reading |
See Course Outline: http://ecocomm.anu.edu.au/courses/outline/FINM3003.pdf
|
| Indicative Reading List | See Course Outline: http://ecocomm.anu.edu.au/courses/outline/FINM3003.pdf |
| Other Information |
For further information please refer to http://ecocomm.anu.edu.au/courses/course.asp?code=FINM3003 |
| Science Group | C |
| Academic Contact | See http://ecocomm.anu.edu.au/courses/course.asp?code=FINM3003 |
The information published on the Study at ANU 2009 website applies to the 2009 academic year only. All information provided on this website replaces the information contained in the Study at ANU 2008 website.
