Quantitative Asset and Liability Modelling 2 - ACST307
The topics covered in this unit include: an introduction to stochastic processes; martingales; an introduction to stochastic calculus; Ito's lemma; forwards, futures, swaps and options; arbitrage-free pricing via replicating portfolio and risk neutral probability measures; the Girsanov theorem; the Black-Scholes option pricing model for European and exotic options; the 'Greeks' and dynamic hedging; term structure of interest rates; relations among short rates, forward rates and zero-coupon bonds; interest rate models; firm-value; and intensity-based credit risk models. 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: | S2 Day - Session 2, North Ryde, Day |
| Staff Contact(s): | Actuarial staff |
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| 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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