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Overview

This postgraduate course focuses on the continuous-time modelling of financial markets. 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 … For more content click the Read More button below.

Conditions for Enrolment

Prerequisites: MATH5965, MATH5975

Delivery

In-person - Standard (usually weekly or fortnightly)

Please note that the above delivery information is an indication on how this course may be delivered within the year.  Delivery mode(s) for each term can be viewed on other sources such as myUNSW and class timetable site.

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Course Outline

To access course outline please visit below link (Please note that access to UNSW Canberra course outlines requires VPN):
MATH5816 Course Outline

Fees

TypeAmount
Commonwealth Supported Students (if applicable)$516
Domestic Students$4170
International Students$5940

Disclaimer

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Commonwealth Supported Students:

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Where a Commonwealth Supported fee is displayed it does not guarantee that such places are available.

Pre-2019 Handbook Editions

Access past handbook editions (2018 and prior)
Pre-2019 Handbook Editions