FINM7003 Continuous Time Finance
| Offered By | Rsch Sch of Finance, Actuarial Studies & App Stats |
|---|---|
| Academic Career | Graduate Coursework |
| 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 |
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%. |
| Workload |
10 hrs per week |
| 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. |
| Requisite Statement |
Pre-requisites: FINM7041 Applied Derivatives and STAT7018 Stochastic Modelling |
| Prescribed Texts |
See Course Website |
| Preliminary Reading |
See Course Website
|
| Indicative Reading List |
See Course Website |
| Programs | Master of Actuarial Statistics, Master of Actuarial Statistics, Master of Actuarial Studies, Master of Actuarial Studies, and Master of Commerce |
| Other Information |
For further information please refer to Course Website |
| Academic Contact | See http://ecocomm.anu.edu.au/courses/course.asp?code=FINM7003 |
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.
