2010 Course Handbook
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ACST306: Quantitative Asset and Liability Modelling 1
This unit examines: utility theory and simple asset allocation; mean-variance portfolio theory; the capital asset pricing model; measures of investment risk; single and multifactor models; arbitrage pricing theory; and the efficient market hypothesis. With the introduction of derivatives—forwards, futures and options— the single period binomial option pricing model (discrete time model) and the Black-Scholes option pricing model (continuous time model) are covered. Stochastic interest rates and moments of the accumulation of annuities are also studied. Students gaining a grade of credit or higher in both this unit and ACST307 (which is first offered in 2011) may apply for exemption from subject CT8 of the professional exams of the Institute of Actuaries of Australia.
| Credit Points: | 3 |
| Contact Hours: | 3 |
| When Offered: | D2 - Day; Offered in the second half-year |
| Staff Contact(s): | Actuarial Staff |
| Prerequisites: | |
| Corequisites: | |
| NCCW(s): | ACCG329, ACST305 |
| Unit Designation(s): | |
| Assessed As: | Graded |
| Offered By: | Department of Actuarial Studies |
Timetable Information
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