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Quantitative Asset and Liability Modelling 1 - ACST816
The unit examines utility theory and asset allocation, mean-variance portfolio theory, the Capital Asset Pricing Model (CAPM), single/multi index model and arbitrage pricing theory (APT), measures of investment risk and the efficient market hypothesis. With the introduction of the relations among short rate, forward rate and default-free zero coupon bond price, stochastic interest rates; moments of the accumulation of a string of payments are studied. Also with the introduction of derivatives: Forward, Futures and Option, single-period to three-period Binomial option pricing model (discrete time model) and simple version of Black-Scholes option pricing model (continuous time model) are covered.
| Credit Points: | 4 |
| When Offered: | D1 - Day; Offered in Session 1, North Ryde |
| Staff Contact(s): | Dr Jiwook Jang |
| Prerequisites: | |
| Corequisites: | |
| NCCW(s): | ACST858 |
| Unit Designation(s): | |
| Assessed As: | Graded |
| Offered By: | Department of Applied Finance and Actuarial Studies Faculty of Business and Economics |
Timetable Information
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