Subject:
Actuarial Science (ACTSC)
Catalog number:
846
Unit weight:
0.50
Meet type:
LEC,TUT
Cross-listing(s):
N/A
Requisites:
Antireq: ACTSC 446
Description:
This course covers mathematical techniques for no-arbitrage pricing and hedging financial derivatives. Topics to be covered can be classified into three broad ares: derivatives markets (options; forwards and futures; other derivatives; put-call parity), discrete-time financial models (binomial models; general multi-period models; fundamental theorems of asset pricing; risk-neutral probability), and continuous-time financial models (basic stochastic calculus and Ito's lemma; Black-Scholes model; interest rate models and bond pricing).
Topic titles:
N/A
Faculty:
Mathematics (MAT)
Academic level:
GRD
Course ID:
011270
