Discrete-time market models, option pricing and replication, risk-neutral valuation and martingale measures, and the fundamentaltheorem 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. Antirequisite(s): The former Statistical Sciences 4520A/B. Prerequisite(s): A minimum mark of 60% in both Actuarial Science 2557A/B and Statistical Sciences 2857A/B. Corequisite(s): Pre-or Corequisite(s): Extra Information: 3 lecture hours, 0.5 course. back to top
