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Financial Modelling 2 - DSC4826
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.