units

MTH5510

Faculty of Science

18 September 2017 25 April 2024

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This unit entry is for students who completed this unit in 2016 only. For students planning to study the unit, please refer to the unit indexes in the the current edition of the Handbook. If you have any queries contact the managing faculty for your course or area of study.

Monash University

6 points, SCA Band 2, 0.125 EFTSL

Postgraduate - Unit

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.

Faculty

Science

Organisational Unit

School of Mathematical Sciences

Coordinator(s)

Associate Professor Kais Hamza

Offered

Clayton

  • Second semester 2016 (Day)

Synopsis

Introduction to options. The binomial model. The Black-Scholes model. Partial differential equations. Black-Scholes formulae. American options. Exotic options.
Basic concepts of risk management. Multivariate models. Copulas and dependence. Aggregate risk. Extreme value theory. Credit risk models and insurance analytics.

Outcomes

On completion of this unit students will be able to:

  1. Develop specialised mathematical knowledge and skills within the fields of partial differential equations and probability theory.
  2. Understand the complex connections between specialised financial and mathematical concepts.
  3. Apply critical thinking to problems in partial differential equations that relate to financial derivatives.
  4. Apply critical thinking to problems in probability theory that relate to risk management.
  5. Apply problem solving skills within the finance context.
  6. Formulate expert solutions to practical financial problems using specialised cognitive and technical skills within the fields of partial differential equations and probability theory.
  7. Communicate complex information in an accessible format to a non-mathematical audience.

Assessment

Weekly homework: 10%
Assignments: 10%
Minor project: 10%
Exam: 70%

Workload requirements

Two 2-hour lectures per week

See also Unit timetable information

Chief examiner(s)

Associate Professor Kais Hamza

Prerequisites

MTH3011 (or equivalent) and MTH3241 (or equivalent) and MTH3251 (or equivalent)

Co-requisites

Only students enrolled in the Master of Financial Mathematics can enrol in this unit. Exceptions can be made with permission from the unit co-ordinator.