ETC5351 Modelling in finance and insurance
Faculty of Business and Economics
ETC5351 Modelling in finance and insurance is a level 5, 6-credit-point, postgraduate unit from the Faculty of Business and Economics, offered in 2020 in Semester 1 and Semester 2 at Clayton. It needs ETC5252 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.
Reviews
No reviews yetNo reviews yet. Be the first to review ETC5351.
Requisites
Before ETC5351
Prerequisites
Pass these before you enrol.
Prohibitions
You can't enrol if you have passed any of these.
After ETC5351
No unit lists ETC5351 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%
- ExaminationThreshold hurdle60%
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 concepts 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
- Lectures36 hours
- Applied sessions24 hours
- Teaching approachActive learning
- Teaching approachPeer assisted 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
- Chief Examiners
- Dr Fima Klebaner
Common questions
When is ETC5351 offered?
In 2020, ETC5351 runs in Semester 1 and Semester 2 at Clayton.
How much work is ETC5351?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
Does ETC5351 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.
More details
- Credit points
- 6
- Level
- 5
- Study level
- Postgraduate
- 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