Coronavirus (COVID-19) Update
Due to the Coronavirus (COVID-19) pandemic, any references to assessment tasks and on-campus delivery may no longer be up-to-date on this page.
Students should consult iLearn for revised unit information.
Find out more about the Coronavirus (COVID-19) and potential impacts on staff and students
Unit convenor and teaching staff |
Unit convenor and teaching staff
Jiwook Jang
Angela Chow
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Credit points |
Credit points
10
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Prerequisites |
Prerequisites
(STAT810 or STAT8310 or STAT806) and (ACST881 or ACST8081)
|
Corequisites |
Corequisites
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Co-badged status |
Co-badged status
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Unit description |
Unit description
This unit examines: rational expectations theory, rational choice theory, behavioural economics, properties of risk measures, risk and insurance companies, stochastic interest rate models, mean-variance portfolio theory, asset pricing models, single and multifactor returns models, binomial lattice models for option pricing and methods for calculating outstanding claims provisions in general insurance. Students gaining a credit average in both ACST8087 and ACST8088 (minimum mark of 60 on both units) will satisfy the requirements for exemption from the professional subject CM2 of the Actuaries Institute. |
Information about important academic dates including deadlines for withdrawing from units are available at https://www.mq.edu.au/study/calendar-of-dates
On successful completion of this unit, you will be able to:
Coronavirus (COVID-19) Update
Assessment details are no longer provided here as a result of changes due to the Coronavirus (COVID-19) pandemic.
Students should consult iLearn for revised unit information.
Find out more about the Coronavirus (COVID-19) and potential impacts on staff and students
GradeBook
Assignment and class test marks are available on GradeBook. It is the responsibility of students to view their marks for each within session assessment on iLearn within 20 working days of posting. If there are any discrepancies, students must contact the unit convenor immediately. Failure to do so will mean that queries received after the release of final results regarding assessment marks (not including the final exam mark) will not be addressed.
Assignment
Due: Thursday 9 April 12:00noon
Weighting: 20%
Assignment has to be submitted via both on iLearn and ACST8087 Assignment Box in BESS.
No extensions will be granted. There will be a deduction of 10% of the total available marks made from the total awarded mark for each 24 hour period or part thereof that the submission is late (for example, 25 hours late in submission -- 20% penalty). This penalty does not apply forcases in which an application for special consideration is made and approved. No submission will be accepted after solutions have been posted.
Class Test
Due: Thursday 21 May 12:00noon
Weighting: 20%
Class test will be approximately 90 minutes written papers with no reading time, held during the seminar time. No notes or textbooks are permitted, but a copy of the formula sheets is provided. Non-programmable calculators with no text-retrieval capacity are allowed. Dictionaries are not permitted. Students who do not sit the test will be awarded a mark of 0, except for cases in which an application for special consideration is made and approved.
Final Examination
Due: Examination period
Weighting: 60%
The final examination will be a three-hour written paper with ten minutes reading time, held during the University Examination period. No notes or textbooks are permitted, but a copy of the formula sheets is provided. Non-programmable calculators with no text-retrieval capacity are allowed. Dictionaries are not permitted.
Coronavirus (COVID-19) Update
Any references to on-campus delivery below may no longer be relevant due to COVID-19.
Please check here for updated delivery information: https://ask.mq.edu.au/account/pub/display/unit_status
CLASSES
This unit consists of 4 hours of seminars per week. Seminars are held at the following times: Thursday 12:00-2:00pm, 04 EAR 110 and Friday 3:00-5:00pm, 08 SCO 117.
Any alterations to the class times or locations will be advised in lectures and via the website.
REQUIRED and RECOMMENDED TEXTS and/or Materials
Required texts
Seminar materials are available for downloading from ACST8087 teaching website.
Recommended textbooks
• Investment Science; David Luenberger
• Modern Portfolio Theory and Investment Analysis; Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William N. Goetzmann
• Investment Mathematics and Statistics; Andrew Adams, Della Bloomfield, Philip Booth and Peter England
• Options, Futures and Other Derivatives; John Hull
Each copy of these books is available in the Reserve section of the Library and can be purchased from the Macquarie University Co-op bookshops.
Optional ActEd material
• The ActEd CM2, that can be purchased directly from ActEd.
Coronavirus (COVID-19) Update
The unit schedule/topics and any references to on-campus delivery below may no longer be relevant due to COVID-19. Please consult iLearn for latest details, and check here for updated delivery information: https://ask.mq.edu.au/account/pub/display/unit_status
Week Lecture Topics
1. Utility Theory, Decision making via utility functions
2. Stochastic dominance, Behavioural finance
3. Mean-Variance portfolio theory
4. The CAPM
5. Single/Multi index models, Arbitrage pricing theory (APT)
6. Measurements of investment risk
7. Options
(Assignment due - Thursday 9 April at 12:00noon)
Semester Break
8. Single/Multi period Binomial option pricing model
9. American option pricing via Binomial model
10. Runoff triangle
11. Class Test (Thursday 21 May 12:00-2:00pm)
12. Stochastic interest rate models / Efficient market hypothesis
13. Revision
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Learning Skills (mq.edu.au/learningskills) provides academic writing resources and study strategies to help you improve your marks and take control of your study.
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The unit code has changed to ACST8087 from ACST887.