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Unit of study_

FINC6005: Advanced Asset Pricing

2021 unit information

This unit covers the fundamentals of asset pricing and valuation, under equilibrium conditions and under no-arbitrage restrictions. It reviews the main themes in modern asset pricing, and introduce ideas of importance to the evolution of the discipline, and consequently of relevance to a practitioner's long term perspective. The unit emphasises quantitative methods, so students are required to have fairly strong mathematical skills. Nevertheless, the mathematical tools needed in the unit are adequately reviewed.

Unit details and rules

Managing faculty or University school:

Finance

Code FINC6005
Academic unit Finance
Credit points 6
Prerequisites:
? 
FINC5001 or FINC6000
Corequisites:
? 
None
Prohibitions:
? 
None
Assumed knowledge:
? 
None

At the completion of this unit, you should be able to:

  • LO1. explain and demonstrate mathematically the theory of the utility, equilibrium and arbitrage-free based approaches to asset pricing
  • LO2. explain and be able to derive modern portfolio theory and CAPM results
  • LO3. explain and demonstrate mathematically arbitrage theorems as they relate to asset pricing
  • LO4. describe the process of and show mathematically how to value options and other derivatives via the Black-Scholes and binomial methodology
  • LO5. use mathematics to model financial phenomena in non-standard scenarios
  • LO6. analyse critically the strengths and weaknesses of various asset pricing models and explain how they could be used/misused in practice.

Unit availability

This section lists the session, attendance modes and locations the unit is available in. There is a unit outline for each of the unit availabilities, which gives you information about the unit including assessment details and a schedule of weekly activities.

The outline is published 2 weeks before the first day of teaching. You can look at previous outlines for a guide to the details of a unit.

There are no availabilities for this year.
Session MoA ?  Location Outline ? 
Semester 1 2020
Normal day Camperdown/Darlington, Sydney
Semester 1 2021
Normal day Camperdown/Darlington, Sydney
Semester 1 2021
Normal day Remote

Modes of attendance (MoA)

This refers to the Mode of attendance (MoA) for the unit as it appears when you’re selecting your units in Sydney Student. Find more information about modes of attendance on our website.