37011 Financial Market Instruments8cp
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): 25877 Financial Market Instruments
Designed specifically for quantitative finance students, this subject provides a rigorous introduction to the main instruments and markets that comprise the financial system and to pricing using no-arbitrage arguments. It discusses the valuation of various financial securities such as equities and foreign exchange, bills and bonds, forward rates and yield curve calculations, forward rate agreements (FRAs) and interest rate swaps, and interest rate hedging. It also covers option basics including definitions, strategies and valuation. The subject provides students with a number of practical exercises involving implementation of the pricing models and techniques covered.
Detailed subject description.