300-412 Advanced Financial Mathematics II

Subject information

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300-412 Advanced Financial Mathematics II
Credit Points	12.5
Coordinator	To be advised
Prerequisites	300-408 Advanced Financial Mathematics I.
Semester	2 (view timetable)
Contact	Three hours of lectures and/or tutorials per week
Subject Description	No-arbitrage pricing in continuous-time models; rational bounds for puts and calls; multidimensional Brownian motion and stochastic calculus; Girsanov's Theorem; pricing of options on dividend-paying securities; connections with partial differential equations; exotic options; interest-rate derivatives; actuarial applications.
Generic Skills	High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; interpretation and analysis; critical thinking. Some level of development: synthesis of data and other information; evaluation of data and other information.
Assessment	A 50-minute mid-semester test (20%) and a 2-hour end of semester examination (80%).

Search : Index : Faculty of Economics and Commerce : Actuarial Studies
Prev 300-411 Actuarial Practice and Control II

Status:                   Official 2007
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