Handbook

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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 model are examined. The course also introduces and studies the concepts of historical, implied and stochastic volatilities. We study contingent claims of American, Asian, barrier style in the Black-Scholes model. In the final part of the course, alternative models to pricing contingent claims in continuous time are explored.

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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Fees

Type	Amount
Commonwealth Supported Students (if applicable)	$556
Domestic Students	$4740
International Students	$6540

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)

Faculty
Faculty: The primary academic unit in which related disciplines of teaching and research are conducted.

School
School: The academic unit responsible for teaching in disciplines or subject areas (school is part of a faculty).

Study Level
Study Level refers to the academic level of a program, specialisation or course.

Postgraduate

Offering Terms
Depending on the Academic Calendar type, an offering term generally refers to an academic teaching period of between 8-13 weeks in duration.

Term 3

Campus

Sydney

Academic Calendar

Field of Education

010103 Statistics

Timetable

Course Outline
This link will take you to UNSW Course Outline website that is first released for all faculties for 2024 academic year. Note that the Handbook publishes course information regardless of whether the course is offered (and therefore has a course outline available), or not.

Continuous Time Financial Modelling

MATH5816

6 Units of Credit