300-408 Advanced Financial Mathematics I

Subject information

Search : Index : Faculty of Economics and Commerce : Actuarial Studies
Prev 300-407 Risk Theory II
Next 300-409 Actuarial Studies Projects

300-408 Advanced Financial Mathematics I
Credit Points	12.5
Coordinator	D Dufresne
Prerequisites	300-334 Financial Mathematics III and 300-316 Models for Insurance and Finance.
Semester	1 (view timetable)
Contact	Three hours of lectures and/or tutorials per week
Subject Description	The binomial model; risk-neutral pricing of derivative securities; Brownian motion; introduction to Itô's formula and SDEs; stochastic asset models; Black-Scholes model; arbitrage and hedging; interest-rate models; actuarial applications (e.g. maturity guarantees, SPDAs).
Generic Skills	High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; interpretation and analysis.
Assessment	A 50-minute mid-semester test (20%) and a 2-hour end-of-semester examination (80%).

Search : Index : Faculty of Economics and Commerce : Actuarial Studies
Prev 300-407 Risk Theory II
Next 300-409 Actuarial Studies Projects

Status:                   Official 2007
Last Modified:            Tuesday October 31 22:20
SGML to HTML Conversion:  Information Division - CWIS (SDI)
Authorised by:            Academic Registrar
Enquiries:                http://unimelb.custhelp.com/