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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: 5 (more info)
 
 
Further Information: See Class Timetable
 
 

Description

This course focuses on the continuous-time modelling of financial market under deterministic interest rates. The main goal of the course is a detailed study of the classical Black-Scholes options pricing model and extensions. The notion of a continuously rebalanced trading strategy is introduced and the arbitrage-free and completeness properties of a financial market model are examined. We also introduce and study the concepts of historical, implied and stochastic volatilities. In the second part of the course, we study contingent claim of American style in the Black-Scholes set-up.

Pre-requisites: 24 units of level III mathematics or a degree in a numerate discipline or permission of the Head of Department.

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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.