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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

ACST603 or (admission to MActPrac post 2014) Prerequisite Information


ACST851 and (STAT806 or STAT810)

NCCW(s): ACST858, ACST887
Unit Designation(s):


Assessed As: Graded
Offered By:

Department of Actuarial Studies and Business Analytics

Faculty of Business and Economics

Course structures, including unit offerings, are subject to change.
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