Mathematical Finance Major
| Offered By | ANU College of Medicine, Biology and Environment, ANU College of Physical and Mathematical Sciences, and ANU Joint Colleges of Science |
|---|---|
| Academic Contact | Professor Ross Maller (MSI and Finance and Applied Statistics) and Dr Elizabeth Ormerod (Mathematics) |
| Areas of Interest | Finance, Mathematics, and Statistics |
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 major will consist of a minimum of 42 units of courses including:
(a)
- MATH2320 Analysis 1 Honours
- MATH2405 Maths Methods 1 Honours
- STAT2001 Introductory Mathematical Statistics
- FINM2002 Financial Instruments and Risk Management
(b)
- MATH3015 Mathematics of Finance
- MATH3029 Probability Modelling and Applications
- STAT3004 Stochastic Modelling
Requirements for the Double Major
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
(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:
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.
