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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

STAT810 or STAT806 and ACST881 Prerequisite Information


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.
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