This unit provides students with an introduction to quantitative models and techniques in finance. Topics covered include basic stochastic calculus, probability measures and the role of numeraires, Black-Scholes and Hull-White models, and the theoretical and numerical techniques for valuing derivatives. There is a focus on both the intuitive and mathematical understanding of these topics, as well as their application to problems in quantitative finance.
Details
Academic unit | Finance |
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Unit code | FINC6000 |
Unit name | Quantitative Finance and Derivatives |
Session, year
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Semester 1, 2021 |
Attendance mode | Normal day |
Location | Camperdown/Darlington, Sydney |
Credit points | 6 |
Enrolment rules
Prohibitions
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FINC5002 |
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Prerequisites
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FINC5001 |
Corequisites
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None |
Assumed knowledge
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This unit requires students to have some background in calculus, matrices, statistics and probability. |
Available to study abroad and exchange students | Yes |
Teaching staff and contact details
Coordinator | Oh Kwon, ohkang.kwon@sydney.edu.au |
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Lecturer(s) | Oh Kwon , ohkang.kwon@sydney.edu.au |
Tutor(s) | Quan Gan , quan.gan@sydney.edu.au |