2009 Course Handbook
ACST305: Quantitative Methods for Asset Liability Management
This unit aims to introduce students to financial market theory, portfolio management, derivatives pricing, stochastic calculus, asset-liability modelling and interest rate models. The first four weeks of the course will cover financial market theory and portfolio management. We introduce various theories and models that attempt to explain the behaviour of investors in the market and how this affects the pricing of assets in the market as a whole. The remaining weeks of the course is focused mainly on pricing simple derivatives such as forward contracts, although our emphasis will be on valuing options using discrete (binomial lattice model) and continuous time models (Black-Scholes option pricing model). Stochastic calculus is covered in depth and its application in modelling asset prices is reviewed. We examine the term structure of interest rates and introduce various models that are used in practice in this area.
| Credit Points: | 4 |
| Contact Hours: | 5 |
| When Offered: | D2 - Day; Offered in the second half-year |
| Staff Contact: | Actuarial Staff |
| Prerequisites: | (ACST200(P) or ACST201(P)) and STAT272(P) |
| Corequisites: | |
| NCCWs: | ACCG329 |
| Unit Designations: | Commerce; Economics |
| Assessed As: | Graded |
| Offered By: |
Department of Actuarial Studies |
Timetable Information
For unit timetable information please visit the Timetables@Macquarie Website.