Note: This is an archived Handbook entry from 2009. Search for this in the current handbook
|Dates & Locations:|| |
This subject has the following teaching availabilities in 2009:Semester 2, - Taught on campus.
Timetable can be viewed here. For information about these dates, click here.
|Time Commitment:||Contact Hours: Three hours of lectures and/or tutorials per week |
Total Time Commitment: Not available
For students who started their degree in 2007 or earlier: 300-334 Financial Mathematics III, 620-202 Statistics and either 620-113 Applied Mathematics (Advanced Plus) or 620-123 Applied Mathematics (Advanced). For students who started their degree in 2008 or later: 300-334 Financial Mathematics III and 620-202 Statistics.
|Recommended Background Knowledge:||None|
|Non Allowed Subjects:||None|
|Core Participation Requirements:||
For the purposes of considering request for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Student Support and Engagement Policy, academic requirements for this subject are articulated in the Subject Overview, Learning Outcomes, Assessment and Generic Skills sections of this entry.
It is University policy to take all reasonable steps to minimise the impact of disability upon academic study, and reasonable adjustments will be made to enhance a student's participation in the University's programs. Students who feel their disability may impact on meeting the requirements of this subject are encouraged to discuss this matter with a Faculty Student Adviser and Student Equity and Disability Support: http://services.unimelb.edu.au/disability
CoordinatorAssoc Prof Shuanming Li
Topics include: probability concepts; martingales in actuarial studies and finance; applications of Brownian Motion, geometric Brownian Motion and the lognormal distribution; stochastic calculus; models for financial time series; applications of Monte Carlo simulation in insurance and finance.
A 2-hour end of semester examination (80%) and up to three assignments totalling not more than 20 pages (20%).
|Recommended Texts:|| |
Information Not Available
|Breadth Options:|| |
This subject potentially can be taken as a breadth subject component for the following courses:
You should visit learn more about breadth subjects and read the breadth requirements for your degree, and should discuss your choice with your student adviser, before deciding on your subjects.
|Fees Information:||Subject EFTSL, Level, Discipline & Census Date|
Student may not gain credit for both 300-316 Models for Insurance and Finance and 300-332 Modelling in Insurance and Finance II.
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