UNSW Handbook Course - Discrete Time Financial Modelling

Discrete Time Financial Modelling - MATH5965


	Faculty: Faculty of Science
	School: School of Mathematics
	Campus: Kensington Campus
	Career: Postgraduate
	Units of Credit: 6
	EFTSL: 0.125 (more info)
	Contact Hours per Week: 3
	Session Offered: See Class Timetable
	Fee Band: 2 (more info)

Description

Topics include derivative securities, forward and futures contracts, swaps; option pricing using Black Scholes and binomial approaches; stochastic models for asset dynamics, term structure of volatilities and interest rates; introduction to Ito calculus, diffusion processes and stochastic differential equations.

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