This is archived information!
Search current Handbook for current unit information.
Quantitative Asset and Liability Modelling 2 - ACST817
The topics covered include: an introduction to stochastic processes; martingales; an introduction to stochastic calculus; Ito's Iemma; binomial lattice option pricing 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; pricing non-defaultable zero-coupon bond using short and forward interest rate models; pricing defaultable zero-coupon bond based on firm-value and default intensity.
| Credit Points: | 4 |
| When Offered: | D2 - Day; Offered in Session 2, North Ryde |
| Staff Contact(s): | Dr Jiwook Jang |
| Prerequisites: | |
| Corequisites: | |
| NCCW(s): | |
| Unit Designation(s): | |
| Assessed As: | Graded |
| Offered By: | Department of Applied Finance and Actuarial Studies Faculty of Business and Economics |
Timetable Information
For unit timetable information please visit the Timetables@Macquarie Website