Topics include: probability concepts; martingales in actuarial studies and finance; applications of Brownian motion, geometric Brownian motion and the lognormal distribution; stochastic calculus; models for financial time series; applications of Monte Carlo simulation in insurance and finance. -- Course Website
Prerequisites: For students who started their degree in 2007 or earlier: BOTH of: ACTL30006 Financial Mathematics III MAST20005 Statistics AND either: 620-113 Applied Mathematics (Advanced Plus) or; 620-123 Applied Mathematics (Advanced). For students who started their