37005 Fundamentals of Derivative Security Pricing

8cp; 3hpw (lectures/workshops), online learning
Requisite(s): 24 credit points of completed study in spk(s): STM91543 Core Subjects (Mathematics)
These requisites may not apply to students in certain courses. See access conditions.
Anti-requisite(s): 25873 Fundamentals of Derivative Security Pricing
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.