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Mathematics of Finance II (ACTL90002)

Graduate courseworkPoints: 12.5On Campus (Parkville)

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Year of offer2019
Subject levelGraduate coursework
Subject codeACTL90002
Semester 2
FeesSubject EFTSL, Level, Discipline & Census Date

Topics include: 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

On successful completion of this subject a student should be able to:

  • Discuss the advantages and disadvantages of different measures of investment risk;
  • Describe and discuss the assumptions of mean-variance portfolio theory and its principal results;
  • Describe and discuss the properties of single and multifactor models of asset returns;
  • Describe asset pricing models, discussing the principal results and assumptions and limitations of such models;
  • Discuss the various forms of the Efficient Markets Hypothesis and discuss the evidence for and against the hypothesis;
  • Demonstrate a knowledge and understanding of stochastic models of the behaviour of security prices;
  • Define and apply the main concepts of Brownian motion (or Wiener Processes).

Generic skills

High level of development:

  • Written communication;
  • Problem solving;
  • Statistical reasoning;
  • Application of theory to practice;
  • Interpretation and analysis.

Last updated: 10 July 2019