25838 Advanced Instruments
6cpRequisite(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.
Detailed subject description.
Fee information
2009 contribution for post-2008 Commonwealth-supported students: $1,084.62
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.
2009 amount for undergraduate domestic fee-paying students: $2,425.00
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: 0.125Access 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.
