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No supplementary examinations are awarded for this course. 

21 NQF credits at HEQSF level 8 

Convener: E Maritz 

Course entry requirements: BUS2016H, BUS3018F and BUS3024S (or 60% for FTX3044F and 60% for FTX3045S, for Quantitative Finance students), STA3041F, STA3043S , STA3045F. 

Course outline: 

The aim of the course is to provide students with the ability to develop and apply asset/liability models and to value derivatives. A basic understanding of modern financial theories will be provided. Topics include utility theory, risk assessment, mean variance portfolio theory, multifactor models of asset returns, stochastic asset models, valuation of futures and options, Black Scholes analysis and arbitrage free pricing. 

DP requirements: Completion of tutorials and tests with an average of 40%. Assessment: Tutorials 8%; Tests 32%; End of year examination (1 x 3 hours) 60%.

Last updated : 20 Nov 2018





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