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ACST307: Quantitative Asset and Liability Modelling 2
The topics covered include: an introduction to stochastic processes; martingales; an introduction to stochastic calculus; Ito's lemma; 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: | 3 |
| Contact Hours: | 3 |
| When Offered: | D2 - Day; Offered in the second half-year |
| Staff Contact(s): | Actuarial Staff |
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| Unit Designation(s): | |
| Assessed As: | Graded |
| Offered By: | Department of Applied Finance and Actuarial Studies |
Timetable Information
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