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 300-204 An Introduction to Stochastic Techniques in Financial Mathematics

Coordinator

Dr D Dickson

Prerequisites

300-203 Mathematics in the Financial World and 619-201 Probability.

Semester

2

Contact

Two hours of lectures and one 1 hour tutorial per week

Subject Description

Reinvestment rates; distributions of accumulations and present values; stochastic simulation; binomial lattice models; Brownian motion; time series models.

Assessment

One 2-hour examination (80%) at the end of semester; one 45 minute exam mid-semester (10%) and one major assignment (10%) not exceeding 1500 words.

Prescribed Texts
  • McCutcheon and Scott, An Introduction to the Mathematics of Finance.
  • Cryer, Times Series Analysis.
Search : Index : Faculty of Economics and Commerce : Actuarial Studies
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Status:                   Official 1998
Last Modified:            Tuesday April 28 19:09
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Authorised by:            Academic Registrar
Email Enquiries:          Course_Information@registrar.unimelb.edu.au