ETC5352 - Foundations of quantitative finance - 2019

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.


Business and Economics

Organisational Unit

Department of Econometrics and Business Statistics

Chief examiner(s)

Associate Professor Athanasios Pantelous

Unit guides



  • Second semester 2019 (On-campus)


Students must have passed ETC2430 or equivalent, or be enrolled in course B6014.




This unit will introduce students to the basic theories of financial market behaviour, modelling of investment risk, interest rate models and option pricing models. Students will be introduced to the mathematical and statistical foundations of financial modelling, especially the tools used to analyse interest rates and investment risk. Option pricing models will also be introduced, and related to the work of an Actuary.


The learning goals associated with this unit are to:

  1. Have a critical understanding of the foundational theories of financial market behaviour
  2. Understand and critique measures of investment risk as they relate to insurance
  3. estimate, interpret and utilise models of investments returns, term structure of interest rates, and credit risk models
  4. understand the theoretical foundations and practice of option pricing models, including various methods for pricing options.


Within semester assessment: 40% + Examination: 60%

Workload requirements

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.

See also Unit timetable information