Overview
Offerings
Rules
Contacts
Chief Examiner(s)
Unit Coordinator(s)
Notes
IMPORTANT NOTICE:
Scheduled teaching activities and/or workload information are subject to change in response to COVID-19, please check your Unit timetable and Unit Moodle site for more details.
Learning outcomes
Appreciate the modern approach to evaluation of uncertain future payoffs;
Describe the concepts of arbitrage and fair games and their relevance to finance and insurance;
Understand conditional expectation, martingales, and stopping times, as well as the Optional Stopping Theorem;
Interpret models of random processes such as random walk, Brownian motion and diffusion, and stochastic differential equations;
Use Ito's formula and basic stochastic calculus to solve some stochastic differential equations;
Apply the Fundamental theorems of asset pricing to the Binomial and Black-Scholes models, as well as models for bonds and options on bonds;
Formulate discrete time Risk Model in Insurance and use the Optional Stopping Theorem to control probabilities of ruin;
Simulate stochastic processes and solutions of stochastic differential equations, and obtain prices by simulations.
Teaching approach
Assessment
Scheduled and non-scheduled teaching activities
Workload requirements
Other unit costs
Costs are indicative and subject to change.
Miscellaneous Items Required (Unit Course Reader,Printing, Stationery)- $120.
Availability in areas of study
Financial and insurance mathematics
Mathematical statistics
Mathematics