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Advanced Financial Mathematics I (ACTL40004)
HonoursPoints: 12.5On Campus (Parkville)
About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable(opens in new window)
Contact information
Semester 1
Overview
Availability | Semester 1 |
---|---|
Fees | Look up fees |
The binomial model; risk-neutral pricing of derivative securities; Brownian motion; introduction to Itô΄s formula and SDEs; stochastic asset models; Black-Scholes model; arbitrage and hedging; interest-rate models; actuarial applications (e.g. maturity guarantees, SPDAs) and simple models for credit risk.
Intended learning outcomes
- The binomial model;
- Risk-neutral pricing of derivative securities;
- Brownian motion;
- Introduction to Itô's formula and SDEs;
- Stochastic asset models;
- Black-Scholes model;
- Arbitrage and hedging;
- Interest-rate models;
- Actuarial applications (e.g. maturity guarantees, SPDAs).
Generic skills
-
High level of development: written communication; problem solving; mathematical reasoning; application of theory to practice; interpretation and analysis.
Last updated: 3 November 2022
Eligibility and requirements
Prerequisites
Both of:
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ACTL30006 | Financial Mathematics III | Semester 1 (On Campus - Parkville) |
12.5 |
ACTL30005 | Models for Insurance and Finance | Semester 2 (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: 3 November 2022
Assessment
Additional details
- A one hour mid-semester test (20%)
- An assignment equivalent to 1000 words due in the second half of semester (10%)
- A 2-hour end-of-semester examination (70%)
- To pass this subject students must pass the end of semester examination.
Last updated: 3 November 2022
Dates & times
- Semester 1
Principal coordinator Zhuo Jin Mode of delivery On Campus (Parkville) Contact hours Three hours of lectures and/or tutorials per week Total time commitment 170 hours Teaching period 27 February 2017 to 28 May 2017 Last self-enrol date 10 March 2017 Census date 31 March 2017 Last date to withdraw without fail 5 May 2017 Assessment period ends 23 June 2017 Semester 1 contact information
Time commitment details
170 Hours
Last updated: 3 November 2022
Further information
- Texts
Prescribed texts
You will be advised of prescribed texts by your lecturer.
Recommended texts and other resources
Information Not Available
- 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.
Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.
- Available to Study Abroad and/or Study Exchange Students
This subject is available to students studying at the University from eligible overseas institutions on exchange and study abroad. Students are required to satisfy any listed requirements, such as pre- and co-requisites, for enrolment in the subject.
Last updated: 3 November 2022