Financial Mathematics II (ACTL20002)
Undergraduate level 2Points: 12.5On Campus (Parkville)
Overview
| Availability | Semester 2 |
|---|---|
| Fees | Look up fees |
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: 9 April 2025
Eligibility and requirements
Prerequisites
Both of:
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| ACTL20001 | Financial Mathematics I | Semester 1 (On Campus - Parkville) |
12.5 |
| MAST20004 | Probability | Semester 1 (On Campus - Parkville) |
12.5 |
Corequisites
None
Non-allowed subjects
None
Recommended background knowledge
Please refer to Prerequisites and Corequisites.
Inherent requirements (core participation requirements)
The University of Melbourne is committed to providing students with reasonable adjustments to assessment and participation under the Disability Standards for Education (2005), and the Assessment and Results Policy (MPF1326). Students are expected to meet the core participation requirements for their course. These can be viewed under Entry and Participation Requirements for the course outlines in the Handbook.
Further details on how to seek academic adjustments can be found on the Student Equity and Disability Support website: http://services.unimelb.edu.au/student-equity/home
Last updated: 9 April 2025
Assessment
Additional details
- A 2-hour end-of-semester examination (70%)
- Two assignments totalling not more than 2000 words (20%)
- A 45 minute mid-semester examination (10%)
- To pass this subject students must pass the end of semester examination.
Last updated: 9 April 2025
Dates & times
- Semester 2
Principal coordinator Mark Joshi Mode of delivery On Campus (Parkville) Contact hours Two 1-hour lectures and a 1-hour tutorial per week Total time commitment 170 hours Teaching period 24 July 2017 to 22 October 2017 Last self-enrol date 4 August 2017 Census date 31 August 2017 Last date to withdraw without fail 22 September 2017 Assessment period ends 17 November 2017 Semester 2 contact information
Time commitment details
Estimated total time commitment of 170 hours.
Last updated: 9 April 2025
Further information
- Texts
- Breadth options
- Available through the Community Access Program
About the Community Access Program (CAP)
This subject is available through the Community Access Program (also called Single Subject Studies) which allows you to enrol in single subjects offered by the University of Melbourne, without the commitment required to complete a whole degree.
Please note Single Subject Studies via Community Access Program is not available to student visa holders or applicants
Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.
Last updated: 9 April 2025