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AFX4180 - Mathematical finance

6 points, SCA Band 2, 0.125 EFTSL

Undergraduate, Postgraduate Faculty of Business and Economics

Leader: Professor Francis In


Clayton Second semester 2007 (Day)


Topics covered will be selected from: Markowitz portfolio theory, CAPM, the inter-temporal CAPM, Black-Scholes stock price and its implications, stochastic integration , stylized facts about stock and stock index returns - results from econometric and econophysics research, risky asset models which reproduce the stylized facts, option pricing under such models, Itos formula, Ito processes, Ito calculus, accumulation under stochastic rates of interest and other applications in finance, extreme value theory in stock and insurance markets.


The learning objectives of this unit are to:


Examination (3 hours): 50%
Assignment: 50%

Contact hours

Two 1.5 hour classes per week


Enrolment in an honours or masters program offered by the Faculty of Business and Economics.