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Mathematics of Finance II (ACTL90002)

Graduate courseworkPoints: 12.5On Campus (Parkville)

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Overview

Year of offer2019
Subject levelGraduate coursework
Subject codeACTL90002
Campus
Parkville
Availability
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.

Eligibility and requirements

Prerequisites

ACTL90001 Mathematics of Finance I

Code Name Teaching period Credit Points
ACTL90001 Mathematics of Finance I
Semester 1
12.5

Corequisites

None

Non-allowed subjects

None

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

Assessment

Description

  • 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 coordinatorJohnny Li
    Mode of deliveryOn Campus — Parkville
    Contact hoursA 2 hour seminar and a 1 hour workshop per week
    Total time commitment170 hours
    Teaching period29 July 2019 to 27 October 2019
    Last self-enrol date 9 August 2019
    Census date31 August 2019
    Last date to withdraw without fail27 September 2019
    Assessment period ends22 November 2019

Time commitment details

Estimated total time commitment of 170 hours per semester

Further information

  • Texts

    Prescribed texts

    Introduction to Mathematical Portfolio Theory, Joshi, Paterson 2013.

  • 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.

Last updated: 10 July 2019