ETC3510 Modelling in finance and insurance
Faculty of Business and Economics
ETC3510 Modelling in finance and insurance is a level 3, 6-credit-point, undergraduate unit from the Faculty of Business and Economics, offered in 2020 in Semester 1 and Semester 2 at Clayton. It needs (MTH2010, MTH2015, MTH2032 or ETC2440) and (MTH2222 or ETC2520).
- Credit points
- 6
- Offered in 2020
- Semester 1, Semester 2
- Clayton
- Assessment
- Exam 60%
- and 1 other task
- Workload
- 144 hours
- per semester
This is the 2020 handbook entry. See the 2021 entry.
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Requisites
Before ETC3510
Prohibitions
You can't enrol if you have passed any of these.
Prerequisites
Pass these before you enrol.
After ETC3510
No unit lists ETC3510 as a prerequisite in the 2020 handbook.
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 |
| Second semester | Clayton | On campus |
Assessment
- Within semester assessment40%
- Examination60%
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
- Applied sessions24 hours
- Lectures36 hours
- Teaching approachActive learning
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 ETC3510?
You need (MTH2010, MTH2015, MTH2032 or ETC2440) and (MTH2222 or ETC2520) before you enrol.
When is ETC3510 offered?
In 2020, ETC3510 runs in Semester 1 and Semester 2 at Clayton.
How much work is ETC3510?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
Does ETC3510 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.
More details
- Credit points
- 6
- Level
- 3
- Study level
- Undergraduate
- Faculty
- Faculty of Business and Economics
- Organisational unit
- Department of Econometrics and Business Statistics
- Type
- Coursework
- EFTSL
- 0.125
- Student contribution
- SCA Band 2
- Study abroad
- Not available
- Handbook years
- 20202021