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25923 Derivative Security Pricing

6cp
Undergraduate

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.

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: 0.125

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.