Note: This is an archived Handbook entry from 2013.
|Dates & Locations:|| |
This subject is not offered in 2013.
|Time Commitment:||Contact Hours: Three hours of lectures and/or tutorials per week |
Total Time Commitment: Not available
Study Period Commencement:
Not offered in 2013
|Recommended Background Knowledge:|| |
Please refer to Prerequisites and Corequisites.
|Non Allowed Subjects:|| |
|Core Participation Requirements:||
For the purposes of considering requests for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Students Experiencing Academic Disadvantage Policy, academic requirements for this subject are articulated in the Subject Description, Subject Objectives, Generic Skills and Assessment Requirements for this entry.
The University is dedicated to provide support to those with special requirements. Further details on the disability support scheme can be found at the Disability Liaison Unit website: http://www.services.unimelb.edu.au/disability/
No-arbitrage pricing in continuous-time models. Completeness. Fundamental Theorem of Asset Pricing. Applications of martingales. Multidimensional Brownian motion in asset price models. Other asset price models. Pricing of path-dependent options. Computation methods.
Students completing this subject should
A 50-minute mid-semester test (20%) and a 2-hour end of semester examination (80%).
|Prescribed Texts:|| |
You will be advised of prescribed texts by your lecturer.
|Recommended Texts:|| |
Information Not Available
|Breadth Options:|| |
This subject is not available as a breadth subject.
|Fees Information:||Subject EFTSL, Level, Discipline & Census Date|
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