Models for Financial Economics ACMA 440 (3)
Advanced actuarial models and their application to insurance and financial risks. Exotic options. Market-making, hedging and option greeks. Introduction to stochastic calculus: Ito's lemma, risk neutrality, fundamental theorems of asset pricing. Interest rate modelling and derivatives. Advanced option pricing models. Implied volatility and empirical issues. Actuarial applications: variable annuities. Prerequisite: ACMA 320 and ACMA 340. Quantitative.
| Section | Instructor | Day/Time | Location |
|---|---|---|---|
|
Jean-Francois Begin |
Sep 5 – Dec 4, 2017: Mon, 12:30–2:20 p.m.
Sep 5 – Dec 4, 2017: Wed, 12:30–1:20 p.m. |
Burnaby Burnaby |
|
| D101 |
Sep 5 – Dec 4, 2017: Wed, 1:30–2:20 p.m.
|
Burnaby |