University of Technology, Sydney

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25855 Fundamentals of Derivative Security Pricing

Requisite(s): 25834 Portfolio Analysis AND 25837 Financial Econometrics
These requisites may not apply to students in certain courses. See access conditions.


This subject introduces the basic concepts for the pricing of derivative securities from an intuitive perspective. Topics include basic concepts from probability theory, the fundamentals of stochastic calculus, arbitrage pricing in continuous time, different interpretations of the arbitrage pricing condition, the partial differential equation, martingale and integral evaluation viewpoints. Option pricing under stochastic volatility and jump-diffusion dynamics is also considered.

Detailed subject description.

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Note: The requisite information presented in this subject description covers only academic requisites. Full details of all enforced rules, covering both academic and admission requisites, are available at access conditions and My Student Admin.