This subject provides the techniques needed to analyse and price derivative securities and to understand some of the key associated quantitative arguments. Topics include: derivative securities; arbitrage arguments; geometric Brownian motion model of asset prices; Ito's lemma; risk-neutral pricing; Black Scholes option pricing model; currency, index and futures options; hedging techniques; and interest rate derivative securities.
2008 contribution for post-2008 Commonwealth-supported students: $1,062.38
Note: Students who commenced prior to 1 January 2008 should consult the Student contribution charges for Commonwealth supported students
Not all students are eligible for Commonwealth Supported places.
2008 amount for undergraduate domestic fee-paying students: $2,346.00
Note: Fees for Postgraduate domestic fee-paying students and international students are charged according to the course they are enrolled in. Students should refer to the Annual Fees Schedule.
Subject EFTSL: 0.125