300-408 Advanced Financial Mathematics

Subject information

Search : Index : Faculty of Economics and Commerce : Actuarial studies
Prev 300-407 Risk Theory II
Next 300-410 Actuarial Practice and Control I

300-408 Advanced Financial Mathematics
Credit Points	12.5
HECS Band	2
Coordinator	To be advised
Prerequisites	300-332 Modelling in Insurance and Finance II.
Semester	1 (view timetable)
Contact	Three hours of lectures and/or tutorials per week
Subject Description	Topics include review of martingales, Itô's formula and SDEs; stochastic asset models; term structure models; valuation of derivative securities (European and American options, the Black-Scholes formula); numerical techniques; and actuarial applications (eg. maturity guarantees, SPDAs).
Assessment	A 3-hour end-of-semester examination (100%).

Search : Index : Faculty of Economics and Commerce : Actuarial studies
Prev 300-407 Risk Theory II
Next 300-410 Actuarial Practice and Control I

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/