ETC5352 · Foundations of quantitative finance

Overview

This unit will introduce you to the basic theories of financial market behaviour, modelling of investment risk, interest rate models and option pricing models. You will be introduced to the mathematical and statistical foundations of financial modelling, especially the tools used to analyse interest rates and investment risk. Option pricing models will also be introduced, and related to the work of an Actuary.

Offerings

Assessment

The Handbook lists an examination for this unit.

Assessment details may change. Please refer to the assessment information in Moodle closer to the start of the teaching period.

Requisites

Learning outcomes

1. have a critical understanding of the foundational theories of financial market behaviour
2. understand and critique measures of investment risk as they relate to insurance
3. estimate, interpret and utilise models of investments returns, term structure of interest rates, and credit risk models
4. understand the theoretical foundations and practice of option pricing models, including various methods for pricing options.

Workload

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. You are expected to complete all pre-class activities prior to your scheduled class, and post-class activities should be completed after your scheduled class. Learning activities may include a combination of teacher directed, peer directed and online engagement activities.

Student experience, not official rules. Nothing here changes what the Handbook says.