Prerequisites: MAST5007: Mathematical Statistics
OverviewThe aim of this module is to provide a grounding in the principles of modelling as applied to actuarial work – focusing particularly on stochastic asset liability models. These skills are also required to communicate with other financial professionals and to critically evaluate modern financial theories.
Indicative topics covered by the module include theories of financial market behaviour, measures of investment risk, stochastic investment return models, asset valuations, and liability valuations.
This module will cover a number of syllabus items set out in Subject CM2 – Actuarial Mathematics published by the Institute and Faculty of Actuaries.
This module appears in:
Method of assessment
80% Examination, 20% Coursework
David Hillier, Mark Grinblatt, Sheridan Titman, 2012. Financial markets and corporate strategy, McGraw-Hill Higher Education, London.
Martin Baxter, Andrew Rennie, 1996. Financial Calculus: An Introduction to Derivative Pricing, Cambridge University Press, Cambridge.
Students on the BSc Actuarial Science programmes listed in section 7 are provided with the study notes published by the Actuarial Education Company for Subject CM2 – Actuarial Mathematics.
The intended subject specific learning outcomes. On successfully completing the level 6 module students will be able to:
1 describe, interpret and discuss financial economics, and asset and liability models;
2. demonstrate the capability to deploy established approaches accurately to analyse and solve problems using a basic level of skill in calculation and manipulation of financial economics, and asset and liability models;
3 demonstrate a basic appreciation of recent developments in financial economics and modelling and the links between the theory of these topics and their practical application.
The intended generic learning outcomes. On successfully completing the level 6 module students will be able to:
1 use a logical mathematical approach to solve problems;
2 solve problems and communicate in writing effectively to both a technical and non-technical audience;
3 manage their time and work independently.