Advanced Financial Mathematics II (ACTL40008)

Undergraduate level 4Points: 12.5Not available in 2019

You’re viewing the 2019 Handbook:
Or view archived Handbooks
You’re currently viewing the 2019 version of this subject

Overview

FeesLook up fees

No-arbitrage pricing in continuous-time models. Completeness. Fundamental Theorem of Asset Pricing. Applications of martingales. Multidimensional Brownian motion in asset price models. Other asset price models. Pricing of path-dependent options. Computation methods.

Intended learning outcomes

Students completing this subject should



  • know how to derive the Black-Scholes formula;
  • be familiar with the behaviour and computation of option prices;
  • be able to apply multidimensional Brownian motion in finance and insurance;
  • know some of the alternatives to Brownian motion in securities modelling;
  • be able to apply those techniques to actuarial problems.

Generic skills

  • High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; interpretation and analysis; critical thinking.

  • Some level of development: synthesis of data and other information; evaluation of data and other information.

Last updated: 3 November 2022