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Mathematics of Finance III (ACTL90003)
Graduate courseworkPoints: 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 1
Email: zhuo.jin@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 1 |
---|---|
Fees | Look up fees |
This subject aims to provide students with grounding in advanced financial mathematics, covering option pricing under the binomial model; risk‐neutral pricing of derivative securities; Brownian motion; introduction to Itô΄ formula and SDEs; stochas asset models; Black‐Scholes model; arbitrage and hedging; interest‐rate models; actuarial applications and simple models for credit risk.
Intended learning outcomes
On successful completion of this subject a student should be able to:
- Demonstrate a knowledge of the properties of option prices, valuation methods and hedging techniques, and be able to apply these;
- Show how to use binomial trees and lattices in valuing options;
- Apply the Ito calculus;
- Derive option prices under the Black-Scholes model;
- Describe and apply in simple models, including the binomial model and the Black-Scholes model, the approach to pricing using deflators and demonstrate its equivalence to the risk-neutral pricing approach;
- Demonstrate a knowledge of models of the term structure of interest rates;
- Describe, as a computational tool, the risk-neutral approach to the pricing of zero coupon bonds and interest-rate derivatives for a general one-factor diffusion model for the risk-free rate of interest;
- Demonstrate a knowledge of simple models for credit risk.
Generic skills
High level of development:
- Written communication;
- Problem solving;
- Mathematical reasoning;
- Simple models of credit risk;
- Application of theory to practice;
- Interpretation and analysis.
Last updated: 3 November 2022
Eligibility and requirements
Prerequisites
Entry into Master of Commerce (Actuarial Science) OR
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ACTL90002 | Mathematics of Finance II | Semester 2 (On Campus - Parkville) |
12.5 |
Corequisites
None
Non-allowed subjects
ACTL40004 Advanced Financial Mathematics
Recommended background knowledge
Students should be competent in the use of Excel.
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
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
| From Week 11 to Week 12 | 30% |
End-of-semester exam
| During the examination period | 70% |
Last updated: 3 November 2022
Dates & times
- Semester 1
Principal coordinator Zhuo Jin Mode of delivery On Campus (Parkville) Contact hours 3 hours of lectures and workshops per week Total time commitment 170 hours Teaching period 2 March 2020 to 7 June 2020 Last self-enrol date 13 March 2020 Census date 30 April 2020 Last date to withdraw without fail 5 June 2020 Assessment period ends 3 July 2020 Semester 1 contact information
Email: zhuo.jin@unimelb.edu.au
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) Course Graduate Diploma in Actuarial Science Course Master of 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.
- 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: 3 November 2022