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Quantitative Asset and Liability Modelling 1 - ACST306
This unit examines: utility theory and simple asset allocation; mean-variance portfolio theory; the capital asset pricing model; measures of investment risk; single and multifactor models; arbitrage pricing theory; and the efficient market hypothesis. With the introduction of derivatives—forwards, futures and options— the single period binomial option pricing model (discrete time model) and the Black-Scholes option pricing model (continuous time model) are covered. Stochastic interest rates and moments of the accumulation of annuities are also studied. Students gaining a grade of credit or higher in both ACST306 and ACST307 are eligible for exemption from subject CT8 of the professional exams of the Institute of Actuaries of Australia.
| Credit Points: | 3 |
| When Offered: | D1 - Day; Offered in Session 1, North Ryde |
| Staff Contact(s): | Actuarial Staff |
| Prerequisites: | |
| Corequisites: | |
| NCCW(s): | ACCG329, ACST305, AFIN329 |
| Unit Designation(s): | |
| Unit Type: | |
| Assessed As: | Graded |
| Offered By: | Department of Applied Finance and Actuarial Studies Faculty of Business and Economics |
Timetable Information
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