FINM3003 Continuous Time Finance

Later Year Course

Offered By	Rsch Sch of Finance, Actuarial Studies & App Stats
Academic Career	Undergraduate
Course Subject	Financial Management
Offered in	First Semester, 2012 and First Semester, 2013
Unit Value	6 units
Course Description	Continuous Time Finance provides an introduction to the theory and practice of derivative pricing and hedging. The aim of this course is to provide students with the mathematical skills needed for the valuation of derivatives. Focus will be on the application of results rather than their mathematical derivation. These tools will be applied to derive the famous Black-Scholes formula, to price options on currencies, and to interest-rate derivatives.
Learning Outcomes	By the end of this course students are expected to have attained a sound working knowledge of both the arbitrage-free approach to pricing and the mathematical tools required: Brownian motion, Itô’s formula, martingales, stochastic differential equations, change of measure, and the martingale representation theorem.
Indicative Assessment	Take-home mid term exam worth 30%. Final Examination (worth 70%)
Workload	At least three contact hours per week plus private study time.
Areas of Interest	Finance
Requisite Statement	FINM2002 Derivatives and STAT3004 Stochastic Modelling.
Prescribed Texts	See Course Website
Preliminary Reading	See Course Website
Indicative Reading List	See Course Website
Majors/Specialisations	Quantitative Finance
Other Information	For further information please refer to Course Website
Science Group	C
Academic Contact	See http://ecocomm.anu.edu.au/courses/course.asp?code=FINM3003

The information published on the Study at ANU 2012 website applies to the 2012 academic year only. All information provided on this website replaces the information contained in the Study at ANU 2011 website.