FINM7003 Continuous Time Finance
| Offered By | School of Finance, Actuarial Studies & Appl Stats |
|---|---|
| Academic Career | Graduate Coursework |
| Course Subject | Financial Management |
| Offered in | First Semester, 2010 and First Semester, 2011 |
| 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 applications used in continuous time. Topics include: introduction to stochastic calculus; continuous time concepts; martingales; stochastic volatility; applications to asset pricing and derivatives; hedging principles; incomplete markets; transactions costs. |
| Learning Outcomes |
On completion of this course students should understand and be able to apply the processes and applications outlined in the course description. |
| Indicative Assessment |
Take-home midterm exam worth 30% and a Final Examination (worth 70%). FINM7003 students will be required to complete some additional questions to FINM3003 student on their respective examinations. |
| Workload | 10 hrs per week for 13 weeks=130hrs |
| Course Classification(s) | AdvancedAdvanced courses are designed for students having reached 'first degree' level of assumed knowledge, which provide a deep understanding of contemporary issues; or 'second degree' and higher levels of knowledge; or for transition to research training programs., SpecialistSpecialist courses are designed for students having reached 'first degree' level of assumed knowledge, which provide for the acquisition of specialist skills; or 'second degree' and higher level of knowledge; or for transition to research training programs; or knowledge associated with professional accreditation., and TransitionalTransitional courses are designed for students from a broad range of backgrounds and learning achievements, which provide for the acquisition of generic skills; or an informed understanding of contemporary issues; or fundamental knowledge for transition to Advanced or Specialist courses. |
| Areas of Interest | Finance |
| Eligibility |
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. |
|
Assumed Knowledge and Required Skills |
You will be assumed to have knowledge to the level of an introductory treatment of mathematical statistics (e.g. STAT2001) and stochastic modelling (e.g. STAT3004). If you feel uncertain as to your knowledge of these courses, you will need to go back and read the notes/texts for these courses to familiarise yourself with the necessary material as it will not be explicitly covered in this course. |
| 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 |
| Programs | Graduate Certificate in Actuarial Studies, Master of Actuarial Statistics, Master of Actuarial Studies, and Master of Commerce |
| Other Information | For further information please refer to http://ecocomm.anu.edu.au/courses/course.asp?code=FINM7003 |
| Academic Contact | See http://ecocomm.anu.edu.au/courses/course.asp?code=FINM7003 |
The information published on the Study at ANU 2010 website applies to the 2010 academic year only. All information provided on this website replaces the information contained in the Study at ANU 2009 website.
