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Intermediate Financial Mathematics (ACTL30006)
Undergraduate level 3Points: 12.5On Campus (Parkville)
For information about the University’s phased return to campus and in-person activity in Winter and Semester 2, please refer to the on-campus subjects page.
About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable(opens in new window)
Contact information
Semester 2
Ping Chen: ping.chen@unimelb.edu.au
Please refer to the LMS for up-to-date subject information, including assessment and participation requirements, for subjects being offered in 2020.
Overview
Availability | Semester 2 |
---|---|
Fees | Look up fees |
This subject introduces actuarial students to stochastic asset liability modelling. It aims to expand the student's knowledge of basic actuarial principles in the fields of investments and asset management. Topics include: utility theory, stochastic dominance, 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, students should be able to:
- Understand the objectives of Modern Portfolio Theory
- Define and analyse mean-variance efficiency
- Find efficient portfolios using Gaussian Elimination
- Define and apply single- and multi- factor models for investment returns
- Apply expected utility theory to make investment choices
- Apply and criticise the Capital Asset Pricing Model
- Find portfolio expected returns using the Arbitrage Pricing theory
- Compare and contrast methodologies for making investment choices in terms of the strengths of their assumptions
- Make decisions regarding investment choice using a variety of mathematical techniques
- Apply the concepts of market efficiency and rationality
- Apply stock price models across time to assessing long-term risk in portfolios
Generic skills
Written communication; Problem solving; Statistical reasoning; Application of theory to practice; Interpretation and analysis; use of computer software.
Last updated: 15 February 2024
Eligibility and requirements
Prerequisites
For students who commenced their degree in 2018 or earlier
ACTL20002 Financial Mathematics II
For students who commenced their degree in 2019 or later (i.e. entry into this subject from 2021 onwards)
All of
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ACTL20003 | Stochastic Techniques in Insurance | Semester 2 (On Campus - Parkville) |
12.5 |
ACTL20004 | Topics in Actuarial Studies | Semester 2 (On Campus - Parkville) |
12.5 |
Corequisites
None
Non-allowed subjects
Code | Name | Teaching period | Credit Points |
---|---|---|---|
FNCE30001 | Investments |
Semester 1 (On Campus - Parkville)
Semester 2 (On Campus - Parkville)
|
12.5 |
306-331 Investments
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: 15 February 2024
Assessment
Due to the impact of COVID-19, assessment may differ from that published in the Handbook. Students are reminded to check the subject assessment requirements published in the subject outline on the LMS
Description | Timing | Percentage |
---|---|---|
Assignment 1 (Week 5)
| First half of the teaching period | 15% |
Assignment 2 (Week 9)
| Second half of the teaching period | 15% |
End-of-semester examination
| During the examination period | 70% |
Last updated: 15 February 2024
Dates & times
- Semester 2
Principal coordinator Ping Chen Mode of delivery On Campus (Parkville) Contact hours Two x 1-hour lecture during semester; One x 1-hour tutorial per week commencing in second week of semester Total time commitment 170 hours Teaching period 3 August 2020 to 1 November 2020 Last self-enrol date 14 August 2020 Census date 21 September 2020 Last date to withdraw without fail 16 October 2020 Assessment period ends 27 November 2020 Semester 2 contact information
Ping Chen: ping.chen@unimelb.edu.au
Time commitment details
Estimated total time commitment of 170 hours.
Last updated: 15 February 2024
Further information
- Texts
Prescribed texts
You will be advised of prescribed texts by your lecturer.
Recommended texts and other resources
Introduction to Mathematical Portfolio Theory, Joshi, Paterson 2013
- Breadth options
This subject is available as breadth in the following courses:
- Bachelor of Environments
- Bachelor of Fine Arts (Acting)
- Bachelor of Fine Arts (Animation)
- Bachelor of Fine Arts (Dance)
- Bachelor of Fine Arts (Film and Television)
- Bachelor of Fine Arts (Music Theatre)
- Bachelor of Fine Arts (Screenwriting)
- Bachelor of Fine Arts (Theatre)
- Bachelor of Fine Arts (Visual Art)
- Bachelor of Music
- 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: 15 February 2024