ACT460H1: Stochastic Methods for Actuarial Science and Finance

36L

Applications of the lognormal distribution, Brownian motion, geometric Brownian motion, martingales, Ito's lemma, stochastic differential equations, interest rate models, the Black-Scholes model, volatility, value at risk, conditional tail expectation. Topics in advanced financial mathematics.

ACT240H1 (minimum 63%), ACT245H1 (minimum 63%), ACT247H1 (minimum 63%), ACT350H1/ STA347H1
Science
The Physical and Mathematical Universes (5)