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» ACST305
ACST305: Quantitative Methods for Asset Liability Management |
Deals with the application of stochastic models and numerical techniques to the projection, valuation and risk management of both asset and liability cash flows. Models considered will include simple equity returns models, term structure of interest rate models, models with fixed and interest sensitive decrements. The main applied emphasis of the unit is the use of these models for the consistent valuation of asset and liability cash flows. The unit covers basic stochastic calculus, discrete and continuous time valuation models, stochastic difference and differential equations, forward and backward recursion, analytical solutions and numerical solution techniques including simulation.
| Credit Points: | 4 |
| Contact Hours: | 4 |
| When Offered: |
D2 - Day; Offered in the second half-year
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| Staff Contact: |
Actuarial Staff |
| Prerequisites: |
ACST200(P) or ACST201(P); STAT272(P); COMP124 or COMP125 or COMP115 or COMP155 or COMP165
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| Corequisites: |
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| NCCWs: | ACCG329
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| Unit Designations: |
Commerce; Economics
| | Assessed As: |
Graded
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| Offered By: |
Department of Actuarial Studies |
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