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ETC3510 - Modelling in finance and insurance

6 points, SCA Band 2, 0.125 EFTSL

Undergraduate Faculty of Business and Economics

Leader: Professor Fima Klebaner and Professor Don Poskitt

Offered

Clayton First semester 2007 (Day)

Synopsis

Mathematical definition of options and other financial derivatives; probability models; mathematical models of random processes; applications; numerical methods; Monte Carlo methods.

Objectives

The learning objectives of this unit are to:

Assessment

Assignments 30%; practical work 10%; Exam 60%.

Contact hours

3 one-hour lectures and 1 one-hour tutorial/practice class per week.

Prerequisites

ETC1010 or ETC2010 and one of ETC2400, ETC2410, ETC2430, ETC2480, ETC3440 ETC3444 or ETC4344