Handbook home
Mathematics of Finance IV (ACTL90015)
Graduate courseworkPoints: 12.5Not available in 2019
Overview
Fees | Look up fees |
---|
This subject will consider the following topics: 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
On successful completion of this subject, students 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
On successful completion of this subject students should have enhanced their skills in:
- 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
ACTL90003 Mathematics of Finance III
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ACTL90003 | Mathematics of Finance III | Semester 1 (On Campus - Parkville) |
12.5 |
Corequisites
None
Non-allowed subjects
ACTL40008 Advanced Financial Mathematics II
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ACTL40008 | Advanced Financial Mathematics II | Not available in 2024 |
12.5 |
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 1000 word assignment due during the first half of semester (10%)
- A 2-hour end-of-semester examination (70%)
Note: Successful completion of this subject requires a pass (50%) in the final exam.
Last updated: 3 November 2022
Dates & times
Not available in 2019
Time commitment details
Estimated total time commitment of 170 hours per semester
Last updated: 3 November 2022
Further information
- Texts
Prescribed texts
You will be advised of prescribed texts by your lecturer.
- Related Handbook entries
This subject contributes to the following:
Type Name Course Master of Commerce (Actuarial Science) - 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.
Last updated: 3 November 2022