Advanced Financial Mathematics II

Subject ACTL40008 (2015)

Note: This is an archived Handbook entry from 2015.

Credit Points: 12.5
Level: 4 (Undergraduate)
Dates & Locations:

This subject has the following teaching availabilities in 2015:

Semester 2, Parkville - Taught on campus.
Pre-teaching Period Start not applicable
Teaching Period 27-Jul-2015 to 25-Oct-2015
Assessment Period End 20-Nov-2015
Last date to Self-Enrol 07-Aug-2015
Census Date 31-Aug-2015
Last date to Withdraw without fail 25-Sep-2015


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:

The following:

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 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

Coordinator

Prof Mark Joshi

Contact

mjoshi@unimelb.edu.au

Subject Overview:

No-arbitrage pricing in continuous-time models. Completeness. Fundamental Theorem of Asset Pricing. Applications of martingales. Multidimensional Brownian motion in asset price models. Other asset price models. Pricing of path-dependent options. Computation methods.
Learning Outcomes:

Students completing this subject should

  • know how to derive the Black-Scholes formula;
  • be familiar with the behaviour and computation of option prices;
  • be able to apply multidimensional Brownian motion in finance and insurance;
  • know some of the alternatives to Brownian motion in securities modelling;
  • be able to apply those techniques to actuarial problems.
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; critical thinking.

  • Some level of development: synthesis of data and other information; evaluation of data and other information.

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