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Curtin University

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Investment Science 502

  • 311630
  • Semester 2
  • 25.0
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Stochastic models of security prices. An introduction to derivatives, the Greeks and the binomial model. The Black-Scholes option pricing formula. The marginal rate of transformation and five-step method. Arbitrage-free pricing and the five-step method with the Black-Scholes model. Interest rate models. Property derivatives. Exotic structures in credit derivatives. Currency options extended to barrier options using Monte Carlo valuation processes. -- Course Website



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