Quantitative Asset and Liability Modelling 1 - ACST306
This unit examines: utility theory and simple asset allocation; mean-variance portfolio theory; the capital asset pricing model; measures of investment risk; single and multifactor models; arbitrage pricing theory; and the efficient market hypothesis. With the introduction of derivatives—forwards, futures and options— the single period binomial option pricing model (discrete time model) and the Black-Scholes option pricing model (continuous time model) are covered. Stochastic interest rates and moments of the accumulation of annuities are also studied. Students gaining a grade of credit or higher in both ACST306 and ACST307 are eligible for exemption from subject CT8 of the professional exams of the Institute of Actuaries of Australia.
D1 - Day; Offered in Session 1, North Ryde
|Staff Contact(s):||Actuarial Staff|
|NCCW(s):||ACCG329, ACST305, AFIN329|
Department of Applied Finance and Actuarial Studies
Faculty of Business and Economics
For unit timetable information please visit the Timetables@Macquarie Website