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Financial Mathematics III (ACTL30006)
Undergraduate level 3Points: 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 |
This subject introduces actuarial students to stochastic asset liability modelling. It aims to expand the student's knowledge of basic actuarial principles in the fields of investments and asset management. Topics include: utility theory, stochastic dominance, measures of investment risk, portfolio theory, models of asset returns, asset liability modelling, equilibrium models, the efficient markets hypothesis, stochastic models of security prices and Brownian Motion and its application.
Intended learning outcomes
- Understand the objectives of Modern Portfolio Theory
- Define mean-variance efficiency
- Find efficient portfolios using Gaussian Elimination
- Define and apply single- and multi- factor models for investment returns
- Use expected utility theory to make investment choices
- Use and critique the Capital Asset Pricing Model
- Find portfolio expected returns using the Arbitrage Pricing theory
- Distinguish differing methodologies for making investment choices in terms of the strengths of their assumptions
- Make decisions regarding investment choice using a variety of mathematical techniques
- Discuss market efficiency and rationality
- Use stock price models across time to assess long-term risk in portfolios
- Give an actuary's viewpoint on all these topics.
Generic skills
-
High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; interpretation and analysis.
Last updated: 15 February 2024
Eligibility and requirements
Prerequisites
The following:
Code | Name | Teaching period | Credit Points |
---|---|---|---|
No longer available |
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ACTL20002 | Financial Mathematics II | Semester 2 (On Campus - Parkville) |
12.5 |
Corequisites
None
Non-allowed subjects
Students may not gain credit for both
and either 306-331 Investments or
Code
Name
Teaching period
Credit Points
ACTL30006
Financial Mathematics III
12.5
.
Code
Name
Teaching period
Credit Points
FNCE30001
Investments
12.5
No longer available
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: 15 February 2024
Assessment
Additional details
- 50-minute mid-semester test, middle of semester (10%)
- One 1000-word assignment, due in the second half of semester (10%)
- 2-hour end-of-semester examination, end of semester (80%)
- To pass this subject students must pass the end of semester examination.
Last updated: 15 February 2024
Dates & times
- Semester 1
Principal coordinator Zhuo Jin Mode of delivery On Campus (Parkville) Contact hours Two x 1-hour lecture during semester; An additional one hour lecture every 3rd week during semester; 1x1 hour tutorial per week commencing in second week of semester. Total time commitment 170 hours Teaching period 26 February 2018 to 27 May 2018 Last self-enrol date 9 March 2018 Census date 31 March 2018 Last date to withdraw without fail 4 May 2018 Assessment period ends 22 June 2018 Semester 1 contact information
Time commitment details
Estimated total time commitment of 170 hours.
Last updated: 15 February 2024
Further information
- Texts
Prescribed texts
You will be advised of prescribed texts by your lecturer.
Recommended texts and other resources
Introduction to Mathematical Portfolio Theory, Joshi, Paterson 2013
- Subject notes
- Breadth options
This subject is available as breadth in the following courses:
- 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.
Last updated: 15 February 2024