Skip to Content

Quantitative Asset and Liability Modelling 2 - ACST817

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; binomial lattice models; 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 Girsanov theorem; the 'Greeks' and dynamic hedging; American and exotic option pricing; term structure of interest rates; relations among short rates, forward rates and default-free zero-coupon bonds; interest rate models; firm-value and intensity-based credit risk models. 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:

S2 Day - Session 2, North Ryde, Day

Staff Contact(s): Actuarial staff

ACST603 or (admission to MActPrac post 2014) Prerequisite Information


ACST851 and (STAT806 or STAT810)

NCCW(s): ACST888
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.
Need help? Ask us.