Quantitative Asset and Liability Modelling 2 - ACST888
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 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; ruin theory; methods for calculating outstanding claims provisions in general insurance; valuation of basic guarantees.
| Credit Points: | 4 |
| When Offered: | S2 Day - Session 2, North Ryde, Day |
| Staff Contact(s): | Dr Jiwook Jang |
| Prerequisites: | |
| Corequisites: | |
| NCCW(s): | ACST817 |
| 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.