Register to study through Unisa
| Honours,Post Graduate Diploma |
Year module |
NQF level: 8 |
Credits: 24 |
| Module presented in English |
Module presented online |
|
Co-requisite: DSC4821 & DSC4825 |
| Purpose: The purpose of the module is to introduce the student to the mathematical modelling of portfolio risk and financial price processes. After completion of the module the student should:
be able to construct Markowitz efficient frontiers; understand the concept and use of arbitrage arguments; be able to compute martingale measures; construct discrete-time (Cox-Ross-Rubinstein) and continuous-time pricing models for share; prices and derivative values; be able to derive and apply the Black-Scholes formula and be able to characterise stopping times for American options. |