BEX3510 Modelling in finance and insurance
Faculty of Business and Economics
BEX3510 Modelling in finance and insurance is a level 3, 0-credit-point, undergraduate unit from the Faculty of Business and Economics, offered in 2020 in Semester 1 at Clayton. It has no prerequisites.
- Credit points
- 0
- Offered in 2020
- Semester 1
- Clayton
- Workload
- 144 hours
- per semester
This is the 2020 handbook entry. See the 2021 entry.
Reviews
No reviews yetNo reviews yet. Be the first to review BEX3510.
Requisites
Before BEX3510
Prohibitions
You can't enrol if you have passed any of these.
After BEX3510
No unit lists BEX3510 as a prerequisite in the 2020 handbook.
Enrolment rules
Students must be enrolled in course 0029 or 3194.
Equivalent units
The same content under another code. Only one of them counts.
Overview
Mathematical definition of options and other financial derivatives; probability models; mathematical models of random processes; applications; numerical methods; Monte Carlo methods.
Offerings in 2020
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Clayton | On campus |
Learning outcomes
When you finish this unit, you should be able to:
- 1
understand the modern approach to evaluation of uncertain future payoffs
- 2
understand the concepts of arbitrage and fair games and their relevance to finance and insurance
- 3
understand the concept of conditional expectation and martingales and their relation to pricing of financial derivatives
- 4
understand the random processes such as Random Walk, Brownian Motion and Diffusions and be able to apply them for modelling real life processes and risk models
- 5
use Ito's formula
- 6
price options by using the Binomial and Black-Scholes models
- 7
simulate the price process and obtain prices by simulation
- 8
formulate discrete time Risk Model in Insurance and use it for control of probabilities of ruin.
Workload and teaching
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. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.
Contacts
- Unit Coordinators
- Dr Fima Klebaner
- Chief Examiners
- Dr Fima Klebaner
Common questions
What are the prerequisites for BEX3510?
BEX3510 has no prerequisites, but enrolment rules apply.
When is BEX3510 offered?
In 2020, BEX3510 runs in Semester 1 at Clayton.
How much work is BEX3510?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
More details
- Credit points
- 0
- Level
- 3
- Study level
- Undergraduate
- Faculty
- Faculty of Business and Economics
- Organisational unit
- Department of Econometrics and Business Statistics
- Type
- HDR
- EFTSL
- 0
- Student contribution
- SCA Band 2
- Study abroad
- Not available
- Handbook years
- 20202021