ACST816: Quantitative Asset and Liability Modelling 1
The unit deals with the application of stochastic models and numerical techniques to the projection, valuation and risk management of both asset and liability cash flows. Covers basic stochastic calculus, discrete and continuous time valuation models, stochastic differential equations, forward and backward recursion, analytical and numerical solution techniques.
| Credit Points: | 4 |
| Contact Hours: | -- |
| When Offered: | D1 - Day; Offered in the first half-year |
| Staff Contact: | Dr Jiwook Jang |
| Prerequisites: | ACST851 and STAT810 |
| Corequisites: | |
| NCCWs: | ACST858 |
| Unit Designations: | Commerce |
| Assessed As: | Graded |
| Offered By: |
Department of Applied Finance and Actuarial Studies Faculty of Business and Economics |