BUS4028F - Actuarial Science Iii: Financial Economics

21 credits at NQF level 8

Entry Requirements:

BUS2016H, BUS3018F and BUS3024S (or 60% for FTX3044F and 60% for FTX3045S, for Quantitative Finance students), STA3041F, STA3043S (or STA3048S), STA3045F.

Course Outline:

The course covers the behaviour of financial markets, measures of investments risk, asset return models, derivative pricing and liability valuation. Topics include: the efficient markets hypothesis, utility theory, behavioural economics, measures of investment risks, mean-variance portfolio theory, the capital asset pricing model, multi-factor models of asset returns, Brownian motion, to calculus, stochastic models for security prices, models of the term structures of interest rates, simple models for credit risk, valuation of futures and options, ruin theory and run-off triangles.