ACST817: Quantitative Asset and Liability Modelling 2
The topics covered include: an introduction to stochastic processes; martingales; an introduction to stochastic calculus; Ito's Iemma; forwards, futures and options; binomial lattice models; arbitrage-free pricing via replicating portfolio and risk neutral probability measures; the Black-Scholes option pricing model; the Girsanov theorem; the Greeks and dynamic hedging; American and exotic option pricing; term structure of interest rates; relations among short rates, forward rates and default-free zero-coupon bond; interest rate models; firm-value and intensity based credit risk models.
| Credit Points: | 4 |
| Contact Hours: | 3 |
| When Offered: | D2 - Day; Offered in the second half-year |
| Staff Contact: | Dr Jiwook Jang |
| Prerequisites: | ACST851 and STAT810 |
| Corequisites: | |
| NCCWs: | ACST307 |
| Unit Designations: | Commerce |
| Assessed As: | Graded |
| Offered By: |
Department of Applied Finance and Actuarial Studies Faculty of Business and Economics |