University of Technology Sydney

25873 Fundamentals of Derivative Security Pricing

8cp; Forms of attendance in this subject have changed to enable social distancing and reduce the risks of spreading COVID-19 in our community. There may also have been changes to the assessment requirements. Consequently, the Subject Outline information for this subject has changed. Details of the changes may be published in an Addendum to the Subject Outline which is available through your LMS (Blackboard or Canvas).
There are course requisites for this subject. See access conditions.

Postgraduate

Description

This subject introduces the basic concepts for the pricing of derivative securities from an intuitive perspective. Topics include; arbitrage pricing in continuous time, different interpretations of the arbitrage pricing condition, leading to the partial differential equation, martingale and integral evaluation viewpoints. Exotic options, American option and option pricing under stochastic volatility are also considered.


Detailed subject description.

Access conditions

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.