Advanced Financial Mathematics I

• ACTL40004
• Contact Hours: Three hours of lectures and/or tutorials per week
  Total Time Commitment: Not available
• 12.50

The binomial model; risk-neutral pricing of derivative securities; Brownian motion; introduction to Itô?s formula and SDEs; stochastic asset models; Black-Scholes model; arbitrage and hedging; interest-rate models; actuarial applications (e.g. maturity guarantees, SPDAs) and simple models for credit risk. -- Course Website

Prerequisites: Both of: Subject Study Period Commencement: Credit Points: ACTL30006 Financial Mathematics III Semester 1 12.50 ACTL30005 Models for Insurance and Finance Semester 2 12.50