Note: This is an archived Handbook entry from 2016.
|Dates & Locations:|| |
This subject has the following teaching availabilities in 2016:Semester 1, Parkville - Taught on campus.
Timetable can be viewed here. For information about these dates, click here.
|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 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
CoordinatorDr Zhuo Jin
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)
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