25838 Advanced Instruments

6cp

Requisite(s): 25835 Computational Finance AND 25836 Financial Decision Making Under Uncertainty

There are also course requisites for this subject. See access conditions.

Postgraduate

This subject provides the opportunity to apply the various techniques studied earlier in the course to the valuation and hedging of more advanced derivative instruments. It examines taxonomy of the various exotic derivatives in the log-normal world and then focuses in detail on pricing and hedging issues, particularly binaries, barriers and strongly path-dependant options such as Asians and look-backs. Interest rate derivative products are analysed, and practical implementations within the Hull-White, Heath-Jarrow-Morton and Brace-Musiela representations are undertaken.

Fee information

2007 contribution for post-2004 Commonwealth-supported students: $889.75
2007 amount for undergraduate domestic fee-paying students: $2,280.00
Subject EFTSL: 0.125
Note: The above fees are applicable in 2007 for Commonwealth-supported students who commenced after 2004 and domestic fee-paying undergraduate students only. Pre-2005 Commonwealth-supported students should consult the Student contribution charges for Commonwealth supported students webpage.
Not all students are eligible for Commonwealth supported places, and not all subjects are available to Commonwealth supported students. Domestic fee-paying students and international students should refer to the Fees webpage.

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.