Financial Modelling I
Financial Modelling 3520A/B
Description: Discrete-time market models, option pricing and replication, risk-neutral valuation and martingale measures, and the fundamental theorem of asset pricing. Discrete-time Black-Scholes. Value-at-risk, mean-variance portfolio analysis, capital asset pricing model. Discrete-time interest rate models. Duration, convexity and immunization. Simulation.
Term: A/B
Prerequisite(s): AS2557A/B, FM2557A/B, SS2857A/B A minimum mark of 60% in both Financial Modelling 2557A/B (or the former Actuarial Science 2557A/B) and Statistical Sciences 2857A/B.
Antirequisite(s): SS3520A/B
Extra Information: 3 lecture hours, 0.5 course.
Outlines of this course offered in past school years
| Course | Instructor(s) | Outline | Term | School Year |
| FM3520B001 | Marcos Escobar-Anel |  |
B | 2016/2017 |
| FM3520B001 | Lars Stentoft | |
B | 2014/2015 |