UCT BUS4028F-Actuarial Science III: Financial Economics

UCT BUS4028F-Actuarial Science III: Financial Economics

Status
Fourth year, first semester, two lectures and two tutorials per week.
Convener
Mr D Strugnell
Prerequisites
  • Actuarial Science I and II
  • Statistics 3041F, 3045F and 3043S
  • Financial Accounting 1006F & 1011S
  • Economics 1010F & 1011S
Course Outline
The aim of the course is to provide students with the ability to develop and apply asset liability models and to value derivatives. A basic understanding of modern financial theories will be provided. Topics include utility theory, stochastic dominance, risk assessment, mean variance portfolio theory, multifactor models of asset returns, stochastic asset models, valuation of futures and options, Black Scholes analysis and arbitrage free pricing.
Duly Performed Requirements
Completion of tutorials and tests with an average of 40%.
Assessment
Tutorials and tests 40%
Examination (3hr x 1) 60%