Quantitative Asset and Liability Modelling 1 - ACST816
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 for European, American and exotic options. Stochastic interest rates and moments of the accumulation of annuities are also studied. Students gaining a grade of credit or higher in both ACST816 and ACST817 are eligible for exemption from subject CT8 of the professional exams of the Institute of Actuaries of Australia.
| Credit Points: | 4 |
| When Offered: | S1 Day - Session 1, North Ryde, Day |
| Staff Contact(s): | Actuarial staff |
| Prerequisites: |
ACST603 or (admission to MActPrac post 2014) |
| Corequisites: | |
| NCCW(s): | ACST858 |
| Unit Designation(s): | |
| Assessed As: | Graded |
| Offered By: | Department of Applied Finance and Actuarial Studies Faculty of Business and Economics |
Course structures, including unit offerings, are subject to change.
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