|Year of offer||2019|
|Subject level||Graduate coursework|
|Fees||Subject 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).
High level of development:
- Written communication;
- Problem solving;
- Statistical reasoning;
- Application of theory to practice;
- Interpretation and analysis.
Eligibility and requirements
ACTL90001 Mathematics of Finance I
|Code||Name||Teaching period||Credit Points|
|ACTL90001||Mathematics of Finance I||
Recommended background knowledge
Students should be competent in the use of Excel.
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
- A 1000 word assignment due week 11 (10%);
- A one hour mid-semester test due week 10 (20%) and
- A two hour end of semester exam (70%).
- Hurdle requirement: Successful completion of this subject requires a pass (50%) in the final exam.
Dates & times
- Semester 2
Principal coordinator Johnny Li Mode of delivery On Campus — Parkville Contact hours A 2 hour seminar and a 1 hour workshop per week Total time commitment 170 hours Teaching period 29 July 2019 to 27 October 2019 Last self-enrol date 9 August 2019 Census date 31 August 2019 Last date to withdraw without fail 27 September 2019 Assessment period ends 22 November 2019
Time commitment details
Estimated total time commitment of 170 hours per semester
Introduction to Mathematical Portfolio Theory, Joshi, Paterson 2013.
- Related Handbook entries
- 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.