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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.

Credit Points: 2
When Offered:

AFC Term 4 CBD - Applied Finance Centre, City Campus, September to December

Staff Contact(s): Associate Professor Rob Trevor

(Admission to MAppFin or GradDipAppFin) and ECFS867 Prerequisite Information


Unit Designation(s):
Assessed As: Graded
Offered By:

Department of Applied Finance and Actuarial Studies

Faculty of Business and Economics

Course structures, including unit offerings, are subject to change.
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