MTH3251 - Financial mathematics

Leader: Professor Fima Klebaner

Offered

Clayton First semester 2007 (Day)

Synopsis

Options theory has changed financial markets and some say even capitalism itself. Deregulation of other markets, such as the electricity market, has let to increased use of derivatives in these markets as well. The techniques of options theory are based on methods of modern probability and random processes. The main ideas of option theory and relevant mathematical techniques will be covered. The theory will be illustrated by practical examples with use of the Excel package. The methods presented in this unit also find a wide range of applications in modelling and analysis of uncertain phenomena in engineering and the sciences.

Objectives

On the completion of this unit, students will gain an understanding of the methods of modern probability and random processes, and develop skills for modelling of random systems. Students will be able to apply this knowledge and skills in the context financial and insurance modelling.

Assessment

Assignments: 20%
final exam (three hour): 80%

Contact hours

Three 1-hour lectures and one 1-hour support class per week

Prerequisites

MTH1030 and one of STA2022, MTH2032, MTH2010

Prohibitions

ETC3510, ETC3514