Discrete Time Financial Modelling - MATH5965

 
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


Topics include derivative securities, forward and futures contracts, swaps; option pricing using Black Scholes and binomial approaches; stochastic models for asset dynamics, term structure of volatilities and interest rates; introduction to Ito calculus, diffusion processes and stochastic differential equations.