Offered By	ANU Joint Colleges of Science
Academic Contact	Dr Stephen Robert and Dr Steven Stern
Areas of Interest	Finance, Mathematics, and Statistics

Description:

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 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.

Learning Goals:

Students who complete the major in Mathematical Finance will be able to:

1. Demonstrate mastery of mathematical concepts and techniques to the level of advanced Analysis.
2. Demonstrate mastery of the concepts and techniques of of Probability, Statistics, and Stochastic processes.
3. Demonstrate mastery of the ideas and concepts of Mathematical Finance.
4. Apply concepts and techniques from mathematics and statistics to finance problems.
5. Obtain a deep understanding of Finance in the context of advanced mathematical frameworks.
6. Think clearly, sequentially and logically, as demonstrated by the critical analysis of quantitative problems, in particular finance problems.
7. Appreciate that mathematics and statistics is embedded in everyday life through its influence in various fields, in particular in finance.
8.  Draw on discipline based experiences of working collaboratively, communicating mathematical and economics knowledge and acting professionally and responsibility in further study, or professional pursuits.

Requirements

This major requires the completion of 48 units, which must include:

A total of 42 units from the following compulsory courses:

MATH2320  Analysis 1 Honours

MATH2405  Maths Methods 1 Honours

STAT2001  Introductory Mathematical Statistics

FINM2002  Financial Instruments and Risk Management

MATH3015  Mathematics of Finance

MATH3029  Probability Modelling and Applications

STAT3004  Stochastic Modelling

A total of 6 units to be chosen from the following 1000 level courses:

STAT1003  Statistical Techniques

STAT1008 Quantitative Research Methods

Advice to Students:

What 1st year courses should you enrol in?  To satisfy pre-requisites of the core courses  in the major, students must take MATH1115, MATH1116 and FINM1001.

Students are recommended to take 2 extra MATH coded courses to obtain a Minor in Mathematics.

Students should seek further course advice from the academic convener of this Mathematical Finance major.

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.