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Special Topics in Financial Mathematics - MATH5995
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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

The goal of this course is to present the most important mathematical tools that are used for the arbitrage valuation of defaultable claims, which are commonly referred to as credit derivatives. First, we present the main developments within the structural approach to modelling and evaluation of credit risk. The next part of the course is devoted to the reduced-form approach. The approach is purely probabilistic in nature and closely related to reliability theory. A brief survey of practical methods that are currently used in modelling of dependent defaults and credit migrations is provided. The valuation and hedging of multi-name credit derivatives, such as: credit default index swaps and synthetic collateralized debt obligations, is discussed.

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


Note: Course not offered every year - contact the 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.