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300-332 Modelling in Insurance and Finance II | |
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Note | Students may not gain credit for both 300-332 Modelling in Insurance and Finance I and 620-302 Chance and Option Pricing I. |
Credit Points | 12.5 |
HECS Band | 2 |
Coordinator | To be advised. |
Prerequisites | 300-331 Modelling in Insurance and Finance I. |
Semester | 2 (view timetable) |
Contact | Three hours of lectures per week and up to 12 practice classes per semester |
Subject Description | Topics include one-dimensional Brownian motion and geometric Brownian motion; Itô's formula; Brownian motion calculus and stochastic differential equations, multi-dimensional asset model; Vasicek model; Levy processes and their application; martingales in insurance; and Monte Carlo simulation in insurance and finance. |
Assessment | A 3-hour end-of-semester examination (80%) and either a mid-semester test or up to 50 pages of assignments (20%). |
Status: Official 2003 Last Modified: Monday April 28 22:11 SGML to HTML Conversion: Information Division - CWIS (SDI) Authorised by: Academic Registrar Enquiries: http://unimelb.custhelp.com/
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