|Year of offer||Not available in 2019|
|Subject level||Undergraduate Level 4|
|Fees||Subject EFTSL, Level, Discipline & Census Date|
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
Students completing this subject 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.
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.