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Rsch Sch of Finance, Actuarial Studies & App Stats · ANU College of Business and Economics
This is an advanced course in derivatives pricing and hedging, and their applications. The aim is to cover advanced topics in the Black-Scholes model such as optimal stopping theory for pricing and hedging American options, change of numeraire methods, derivatives dependent on one or more Brownian motions, pricing options on correlated assets and various exotic options. In addition, the course also covers alternatives to the Black-Scholes model such as local volatility, jump diffusion and GARCH models, and concepts from risk management such as credit risk. Some time will be spent on the mathematical foundations necessary for understanding these and other applications.
Typical assessment may include, but is not restricted to: exams, assignments, quizzes, presentations, and other assessment as appropriate.
Learning outcomes 1, 2, 3, 4
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.
Refer to the class summary. Preliminary Reading Refer to the class summary.