ETC5352 Foundations of quantitative finance
Faculty of Business and Economics
ETC5352 Foundations of quantitative finance is a level 5, 6-credit-point, postgraduate unit from the Faculty of Business and Economics, offered in 2020 in Semester 2 at Clayton. It needs ETC2430.
- Credit points
- 6
- Offered in 2020
- Semester 2
- Clayton
- Assessment
- Exam 60%
- and 1 other task
- Workload
- 144 hours
- per semester
This is the 2020 handbook entry. See the 2027 entry.
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Requisites
Before ETC5352
Prohibitions
You can't enrol if you have passed any of these.
Prerequisites
Pass these before you enrol.
After ETC5352
No unit lists ETC5352 as a prerequisite in the 2020 handbook.
Equivalent units
The same content under another code. Only one of them counts.
Overview
This unit will introduce students to the basic theories of financial market behaviour, modelling of investment risk, interest rate models and option pricing models. Students will be introduced to the mathematical and statistical foundations of financial modelling, especially the tools used to analyse interest rates and investment risk. Option pricing models will also be introduced, and related to the work of an Actuary.
Offerings in 2020
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Clayton | On campus |
Assessment
- Within semester assessment40%
- Examination60%
Learning outcomes
When you finish this unit, you should be able to:
- 1
have a critical understanding of the foundational theories of financial market behaviourÂ
- 2
understand and critique measures of investment risk as they relate to insurance
- 3
estimate, interpret and utilise models of investments returns, term structure of interest rates, and credit risk models
- 4
understand the theoretical foundations and practice of option pricing models, including various methods for pricing options.
Workload and teaching
- Lectures24 hours
- Tutorials18 hours
Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.
Contacts
- Chief Examiners
- Associate Professor Athanasios Pantelous
Common questions
What are the prerequisites for ETC5352?
You need ETC2430 before you enrol.
When is ETC5352 offered?
In 2020, ETC5352 runs in Semester 2 at Clayton.
How much work is ETC5352?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
Does ETC5352 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.