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Rsch Sch of Finance, Actuarial Studies & App Stats · ANU College of Business and Economics
Continuous Time Finance provides an introduction to the theory and practice of derivative pricing and hedging. The aim of this course is to provide students with the mathematical skills needed for the valuation of derivatives. Focus will be on both the application of results and the underlying mathematical theory. These tools will be applied to derive the famous Black-Scholes formula, to price options on equities, currencies and interest-rate derivatives.
Typical assessment may include, but is not restricted to: exams, assignments, quizzes, presentations and other assessment as appropriate
Learning outcomes 1, 2, 3
Students are expected to commit 130 hours of work in completing this course. This includes time spent in scheduled classes and self-directed study time.
Information about the prescribed textbook will be available via the Class Summary.