Aims and Fit of Module

This module introduces various stochastic models for different actuarial and financial problems. The aim of this module is to develop the necessary skills to construct asset liabilities models and to value financial derivatives. The students are required to understand the developments of quantitative models to solve practical problems. The module helps students write actuarial professional exam.

Learning outcomes

A. Demonstrate and explain the theories on the behavior of financial markets.

B. Illustrate the advantages and disadvantages of different measures of investment risk.

C. Describe and identify the stochastic interest rate of return models.

D. Compare, construct and utilize asset valuations models.

E. Explain, construct and make use of liability and valuations models.

F. Interpret and apply the properties of risk-neutral measure in valuing option.

Method of teaching and learning

This module is delivered through formal lectures and tutorial classes