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Derivatives Valuation - ECFS881
This unit deals with important quantitative issues for derivatives market practitioners. The aim is to extend the Student's understanding of derivatives valuation. This 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. Teaching uses both lectures and hands-on sessions with computer software. This unit complements ECFS882 Exotic Options, which gives comprehensive treatment of exotic options in a Black-Scholes setting.
| Credit Points: | 2 |
| When Offered: | E1 - Evening; Offered in Session 1, North Ryde E2 - Evening; Offered in Session 2, North Ryde |
| Staff Contact(s): | Associate Professor Rob Trevor |
| Prerequisites: |
(Admission to MAppFin or PGCertAppFin) and (ECFS865 and ECFS867 and ECFS868 with SNG of 60 in two of these units) |
| Corequisites: | |
| NCCW(s): | |
| Unit Designation(s): | |
| Assessed As: | Graded |
| Offered By: | Department of Applied Finance and Actuarial Studies Faculty of Business and Economics |
Timetable Information
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