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Macquarie University

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Quantitative Asset and Liability Modelling 2

  • ACST817
  • 4
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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; 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 and exotic 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. Students gaining a grade... -- Course Website

Instructor: Actuarial staff

Prerequisites: ACST601 and ACST603 and ACST604 



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