Handbook

ACTL40004 Advanced Financial Mathematics I

Credit Points: 12.5
Level: 4 (Undergraduate)
Dates & Locations:

This subject has the following teaching availabilities in 2017:

Semester 1, Parkville - Taught on campus.Show/hide details
Pre-teaching Period Start not applicable
Teaching Period 27-Feb-2017 to 28-May-2017
Assessment Period End 23-Jun-2017
Last date to Self-Enrol 10-Mar-2017
Census Date 31-Mar-2017
Last date to Withdraw without fail 05-May-2017


Timetable can be viewed here.
For information about these dates, click here.
Time Commitment: Contact Hours: Three hours of lectures and/or tutorials per week
Total Time Commitment:

170 Hours

Prerequisites:

Both of:

Subject
Study Period Commencement:
Credit Points:
Corequisites: None
Recommended Background Knowledge:

Please refer to Prerequisites and Corequisites.

Non Allowed Subjects: None
Core Participation Requirements:

For the purposes of considering request for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Student Support and Engagement Policy, academic requirements for this subject are articulated in the Subject Overview, Learning Outcomes, Assessment and Generic Skills sections of this entry.

It is University policy to take all reasonable steps to minimise the impact of disability upon academic study, and reasonable adjustments will be made to enhance a student's participation in the University's programs. Students who feel their disability may impact on meeting the requirements of this subject are encouraged to discuss this matter with a Faculty Student Adviser and Student Equity and Disability Support: http://services.unimelb.edu.au/disability

Coordinator

Dr Zhuo Jin

Contact

zhuo.jin@unimelb.edu.au

Subject Overview:

The binomial model; risk-neutral pricing of derivative securities; Brownian motion; introduction to Itô΄s formula and SDEs; stochastic asset models; Black-Scholes model; arbitrage and hedging; interest-rate models; actuarial applications (e.g. maturity guarantees, SPDAs) and simple models for credit risk.

Learning Outcomes:
  • The binomial model;
  • Risk-neutral pricing of derivative securities;
  • Brownian motion;
  • Introduction to Itô's formula and SDEs;
  • Stochastic asset models;
  • Black-Scholes model;
  • Arbitrage and hedging;
  • Interest-rate models;
  • Actuarial applications (e.g. maturity guarantees, SPDAs).
Assessment:
  • A one hour mid-semester test (20%)
  • An assignment equivalent to 1000 words due in the second half of semester (10%)
  • A 2-hour end-of-semester examination (70%)
  • To pass this subject students must pass the end of semester examination.
Prescribed Texts:

You will be advised of prescribed texts by your lecturer.

Recommended Texts:

Information Not Available

Breadth Options:

This subject is not available as a breadth subject.

Fees Information: Subject EFTSL, Level, Discipline & Census Date
Generic Skills:
  • High level of development: written communication; problem solving; mathematical reasoning; application of theory to practice; interpretation and analysis.


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