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Financial engineering 364


 
Module code WTW 364
Qualification Undergraduate
Faculty Faculty of Natural and Agricultural Sciences
Module content

Discrete time financial models: Arbitrage and hedging; the binomial model. Continuous time financial models: The Black-Scholes formula; pricing of options and the other derivatives; interest rate models; numerical procedures.
Module credits 18.00
Service modules Faculty of Economic and Management Sciences
Prerequisites WST 211, WTW 124, WTW 218 and WTW 286/264
Contact time 1 tutorial per week, 2 lectures per week
Language of tuition Module is presented in English
Department Mathematics and Applied Mathematics
Period of presentation Semester 2
The information published here is subject to change and may be amended after the publication of this information. The General Regulations (G Regulations) apply to all faculties of the University of Pretoria. It is expected of students to familiarise themselves well with these regulations as well as with the information contained in the General Rules section. Ignorance concerning these regulations and rules will not be accepted as an excuse for any transgression.

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