2010 Course Handbook
ECFS881: Derivatives Valuation
This unit deals with quantitative issues for derivatives market practitioners. The unit looks at key numerical techniques and applies them to value exotic, GARCH and interest rate options in cases where classical Black-Scholes assumptions are inappropriate.
Prior to this unit students must have completed ECFS865, ECFS867 and ECFS868, with an SNG of at least 60 in two of these units.
| Credit Points: | 2 |
| Contact Hours: | -- |
| When Offered: |
E1 - Evening; Offered in the first half-year
E2 - Evening; Offered in the second half-year |
| Staff Contact: | Dr Rob Trevor |
| Prerequisites: | (Admission to Master of Applied Finance or Postgraduate Certificate in Applied Finance) and (ECFS865 and ECFS867 and ECFS868 with SNG of at least 60 in two of these units) |
| Corequisites: | |
| NCCWs: | |
| Unit Designations: | -- |
| Assessed As: | Graded |
| Offered By: |
Department of Applied Finance and Actuarial Studies Faculty of Business and Economics |