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 PDF B 2016/2017
FM3520B001 Lars Stentoft PDF B 2014/2015

Western Science Centre - Room 262
1151 Richmond Street
London, Ontario, Canada, N6A 5B7
Tel: (519) 661-3607 ext 83607 Fax: (519) 661-3813
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