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Macquarie University

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Quantitative Asset and Liability Modelling 1

  • ACST306
  • 3
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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 options, the binomial option pricing models 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 ACST306 and ACST307 are eligible for exemption from subject CT8 of the professional exams of the Institute of Actuaries of Australia. -- Course Website

Instructor: Actuarial staff

Prerequisites: (ACST200(P) or ACST202(P)) and STAT272(P) 



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