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Financial Mathematics II (ACTL20002)

Undergraduate level 2Points: 12.5On Campus (Parkville)

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Overview

Year of offer2017
Subject levelUndergraduate Level 2
Subject codeACTL20002
Campus
Parkville
Availability
Semester 2
FeesSubject EFTSL, Level, Discipline & Census Date

Topics include discount valuation of bonds and other assets including forward contracts; term structure of interest rates; duration and convexity; distributions of accumulations and present values; stochastic simulation; time series models

Intended learning outcomes

  • Perform compound interest calculations relating to financial assets, including the calculation of price and yield with and without allowance for default
  • Calculate rates of return on investment portfolios using methods employed by actuaries
  • Calculate duration and convexity of cash flow and demonstrate an understanding of the principles and limitations of immunisation
  • Show an understanding of spot rates, forward rates and the term structure of interest rates
  • Analyse compound interest problems at a more advanced level than in ACTL20001 Financial Mathematics I
  • Show an understanding of simple stochastic models for investment returns
  • Show an understanding of the application of simple time series models for investment returns
  • Apply pre-requisite mathematical and statistical concepts to the solution of problems on the above topics

Generic skills

  • High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; use of computer software.

Last updated: 15 July 2017