Advanced Financial Mathematics II (ACTL40008)

Undergraduate level 4Points: 12.5Not available in 2019

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Overview

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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

Eligibility and requirements

Prerequisites

The following:

Code Name Teaching period Credit Points
No longer available

Code Name Teaching period Credit Points
ACTL40004 Advanced Financial Mathematics I
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: 3 November 2022

Assessment

Additional details

  • A 50-minute mid-semester test (20%)
  • A 2-hour end of semester examination (80%)
  • To pass this subject students must pass the end of semester examination.

Last updated: 3 November 2022

Dates & times

Not available in 2019

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 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