STATS 723 : Stochastic Methods in Finance
2020 Semester One (1203) (15 POINTS)
Capabilities Developed in this Course
|Capability 1:||Disciplinary Knowledge and Practice|
|Capability 2:||Critical Thinking|
|Capability 3:||Solution Seeking|
|Capability 4:||Communication and Engagement|
|Capability 5:||Independence and Integrity|
|Capability 6:||Social and Environmental Responsibilities|
- Demonstrate 1. Demonstrate a good knowledge and use of the relevant results and techniques of probability theory
- Solve 2. Solve a variety of problems in probability using rigorous mathematical arguments
- Perform 3. Perform calculations and work effectively with sigma-fields, conditional expectations as random variables, martingales, and equivalent probability measures.
- Demonstrate 4. Demonstrate an understanding of the concept of arbitrage and its connection to the martingale property.
- Perform 5. Perform securities valuation and hedging calculations for both common and novel financial derivatives. (Capability 1, 2, 3, 4, 5 and 6)
|Final Exam||60%||Individual Examination|
|Assessment Type||Learning Outcome Addressed|
This course is a standard 15 point course and students are expected to spend 10 hours per week involved in each 15 point course that they are enrolled in.
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Elements of this outline may be subject to change. The latest information about the course will be available for enrolled students in Canvas.
In this course you may be asked to submit your coursework assessments digitally. The University reserves the right to conduct scheduled tests and examinations for this course online or through the use of computers or other electronic devices. Where tests or examinations are conducted online remote invigilation arrangements may be used. The final decision on the completion mode for a test or examination, and remote invigilation arrangements where applicable, will be advised to students at least 10 days prior to the scheduled date of the assessment, or in the case of an examination when the examination timetable is published.