Note: This is an archived Handbook entry from 2014.
|Dates & Locations:|| |
This subject is not offered in 2014.
|Time Commitment:||Contact Hours: 3 hours of lectures and workshops per week |
Total Time Commitment:
Estimated total time commitment of 120 hours per semester
ACTL90001 Mathematics of Finance I
Study Period Commencement:
|Recommended Background Knowledge:|| |
Students should be competent in the use of Excel.
|Non Allowed Subjects:|| |
ACTL40004 Advanced Financial Mathematics I
|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/
Mark Joshi: firstname.lastname@example.org
The binomial model; risk-neutral pricing of derivative securities; introduction to Ito's formula and SDEs; stochastic asset models; Black-Scholes model; arbitrage and hedging; interest-rate models; actuarial applications.
On successful completion of this subject a student should be able to:
|Prescribed Texts:|| |
You will be advised of prescribed texts by your lecturer.
|Breadth Options:|| |
This subject is not available as a breadth subject.
|Fees Information:||Subject EFTSL, Level, Discipline & Census Date|
High level of development:
Graduate Diploma in Actuarial Science |
Master of Actuarial Science
Master of Commerce (Actuarial Science)
Postgraduate Diploma in Actuarial Science
Download PDF version.