Advanced Financial Mathematics I

Subject ACTL40004 (2011)

Note: This is an archived Handbook entry from 2011.

Credit Points: 12.50
Level: 4 (Undergraduate)
Dates & Locations:

This subject has the following teaching availabilities in 2011:

Semester 1, Parkville - Taught on campus.
Pre-teaching Period Start not applicable
Teaching Period not applicable
Assessment Period End not applicable
Last date to Self-Enrol not applicable
Census Date not applicable
Last date to Withdraw without fail not applicable


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
Prerequisites: Both of:
Subject
Study Period Commencement:
Credit Points:
Corequisites: None
Recommended Background Knowledge: Please refer to Prerequisites and Corequisites.
Non Allowed Subjects: None
Core Participation Requirements:

For the purposes of considering requests for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Students Experiencing Academic Disadvantage Policy, academic requirements for this subject are articulated in the Subject Description, Subject Objectives, Generic Skills and Assessment Requirements for this entry.

The University is dedicated to provide support to those with special requirements. Further details on the disability support scheme can be found at the Disability Liaison Unit website: http://www.services.unimelb.edu.au/disability/

Coordinator

Prof Daniel Dufresne

Contact

dufresne@unimelb.edu.au

Subject Overview:

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 (eg. maturity guarantees, SPDAs).
Objectives:
  • 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).
Assessment:

A 50-minute mid-semester test (20%) and a 2-hour end-of-semester examination (80%).
Prescribed Texts: You will be advised of prescribed texts by your lecturer.
Recommended Texts:

Information Not Available
Breadth Options:

This subject is not available as a breadth subject.
Fees Information: Subject EFTSL, Level, Discipline & Census Date
Generic Skills:

  • High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; interpretation and analysis.

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