Offered By	ANU Joint Colleges of Science

The Mathematical Finance major provides the necessary theoretical framework required to price complex financial products such as derivative contracts. Mathematical finance has given tremendous impetus to research in and applications of probability theory and some other mathematics areas.  The skills acquired through this major equip students to continue to postgraduate research in mathematical finance or applied probability. These skills, along with a solid computational foundation which can be obtained through courses available in the Double Major, and form an integral component of the attributes necessary to work as a “quant” in the banking and finance industry; for example, market makers, hedge fund analysts, statistical arbitrageurs and risk analysts in banks, central banks and regulators.

Prerequisites

Students should take MATH1115 and MATH1116 and FINM1001 and STAT1003 or STAT1008.

Requirements

This double major will consist of a minimum of 60 units of courses including:

(a)  The 42 units of courses making up the Major in Mathematical Finance including:

• MATH2320 Analysis 1 Honours
• MATH2405 Maths Methods 1 Honours
• STAT2001 Introductory Mathematical Statistics
• MATH3015 Mathematics of Finance
• MATH3029 Probability Modelling and Applications
• STAT3004 Stochastic Modelling
• FINM2002 Financial Instruments and Risk Management

(b)   MATH3320 Analysis 2 Honours

(c)  At least one of:

• STAT3006 Continuous State Stochastic Processes
• STAT3035 Risk Theory
• MATH3511 Scientific Computing
• MATH3512 Matrix Computations and Optimisation

(d)  At least one of:

• FINM3003 Continuous Time Finance
• FINM3007 Advanced Derivatives and Pricing
• FINM3008 Applied Portfolio Construction1*

*Taking this choice requires taking FINM3001 as a pre-requisite

 

The information published on the Study at ANU 2011 website applies to the 2011 academic year only. All information provided on this website replaces the information contained in the Study at ANU 2010 website.