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Macquarie University

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Quantitative Asset and Liability Modelling 2

  • ACST307
  • 3
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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; 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 'Greeks' and dynamic hedging; term structure of interest rates; relations among short rates, forward rates and zero-coupon bonds; interest rate models; firm-value; and intensity-based credit risk models. Students gaining a grade of credit or higher in both ACST306 and ACST307 are eligible for exemption from subject CT8 of... -- Course Website

Instructor: Actuarial staff

Prerequisites: ACST305(P) or ACST306(P) 



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