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Department of Statistical and Actuarial Sciences
Center of Actuarial Excellence (CAE)

Financial Markets and Investments

Financial Modelling 2557A/B

Description: Basic securities, financial market conventions, swaps, arbitrage pricing and hedging of forwards/futures, equity options, bonds, theories of the term structure, factors affecting option prices, arbitrage relations of calls and puts, trading strategies involving options, binomial model for stock prices, option pricing by replication under the binomial model.

Term: A/B

Prerequisite(s): A minimum mark of 60% in Calculus 1501A/B or Applied Mathematics 1413, or Calculus 1301A/B with a minimum mark of 85%.

Antirequisite(s): AS2557A/B

Extra Information: 3 lecture hours, 1 tutorial hour, 0.5 course

Outlines of this course offered in past school years
Course Instructor(s) Outline Term School Year
FM2557B001 Xiaoming Liu PDF B 2016/2017
FM2557B001 Xiaoming Liu PDF B 2015/2016
FM2557B001 Xiaoming Liu PDF B 2014/2015