Discrete Time Financial Modelling - MATH5965
Faculty: Faculty of Science
School: School of Mathematics and Statistics
Course Outline: http://www.maths.unsw.edu.au/
Campus: Sydney
Career: Postgraduate
Units of Credit: 6
EFTSL: 0.12500 (more info)
Indicative Contact Hours per Week: 3
CSS Contribution Charge: 2 (more info)
Tuition Fee: See Tuition Fee Schedule
Further Information: See Class Timetable
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Description
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.