The University of New South Wales

go to UNSW home page

Postgraduate Handbook

PRINT THIS PAGE
Discrete Time Financial Modelling - MATH5965
 The Quad

   
   
   
 
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

The course provides an overview of the most important classes of financial contracts that are traded either on exchanges of over-the counter between financial institutions and their clients. We discuss option of European and American style, futures contracts and forward contracts. The basic ideas of arbitrage pricing are studied in the framework of the classical Cox-Ross-Rubinstein binominal model of stock price.
Subsequently, we analyse the valuation and hedging of European and American options and general contingent claims. We also prove the so-called fundamental theorems of asset pricing for finite models of security markets which furnish a theoretical underpinning of the modern theory of derivatives pricing in stochastic models of security markets.

This course is a pre-requisite for MATH5816 Continuous Time Financial Modelling.

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

URL for this page:

© 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.