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Continuous Time Financial Modelling - MATH5816
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Faculty: Faculty of Science
 
 
School:  School of Mathematics and Statistics
 
 
Course Outline: http://www.maths.unsw.edu.au/
 
 
Campus: Kensington Campus
 
 
Career: Postgraduate
 
 
Units of Credit: 6
 
 
EFTSL: 0.12500 (more info)
 
 
Indicative Contact Hours per Week: 3
 
 
Fee Band: 2 (more info)
 
 
Further Information: See Class Timetable
 
 

Description

1. Black-Scholes model: self-financing strategies, arbitrage opportunities, martingale measures, option pricing formula, % replication of European contingent claims, Black-Scholes PDE, completeness, Black model, currency options.

2. American claims: American call and put option, rational exercise time, early exercise premium representation, optimal boundary.

3. Volatilities: historical volatility, implied volatility, volatility surface, risk-neutral marginal distributions, local volatility model.

Note: Course not offered every year - contact School for more information.

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© The University of New South Wales (CRICOS Provider No.: 00098G), 2004-2011. The information contained in this Handbook is indicative only. While every effort is made to keep this information up-to-date, the University reserves the right to discontinue or vary arrangements, programs and courses at any time without notice and at its discretion. While the University will try to avoid or minimise any inconvenience, changes may also be made to programs, courses and staff after enrolment. The University may also set limits on the number of students in a course.