Simon Fraser University
Engaging the World

Course Outlines

Spring 2017 - ACMA 395 D100

Special Topics in Actuarial Science (3)

Introduction to Financial Mathematics

Class Number: 5989

Delivery Method: In Person

Overview

  • Course Times + Location:

    Jan 4 – Apr 7, 2017: Mon, 12:30–2:20 p.m.
    Burnaby

    Jan 4 – Apr 7, 2017: Wed, 12:30–1:20 p.m.
    Burnaby

  • Exam Times + Location:

    Apr 21, 2017
    Fri, 8:30–11:30 a.m.
    Burnaby

  • Instructor:

    Barbara Sanders
    bsanders@sfu.ca
    778-782-9074
    Office: SC-K10554

  • Prerequisites:

    Dependent on the topics covered.

Description

CALENDAR DESCRIPTION:

Topics in areas of actuarial science not covered in the regular certificate curriculum of the department.

COURSE DETAILS:

Prerequisites: ACMA 210 and STAT 285

Course outline:

This course is an introduction to financial economics for actuaries. Topics covered include:

  • Forwards and futures: forward contract, prepaid forward contract, mechanics (margin balance, maintenance margin), futures price, no-arbitrage pricing, synthetic forwards
  • Swaps: commodity swap, interest rate swap, deferred swap, valuation
  • Options: types, styles, parity and other option relationships
  • Option strategies and risk management: hedging, arbitrage, spreads (bull, bear, vertical, box, ratio), collar, straddle, strangle, butterfly spread
  • Option valuation: risk-neutral prices of European and American options, binomial tree, Black-Scholes formula (option Greeks, implied volatility, model assumptions, relationship to lognormal distribution)
  • Monte Carlo methods: pricing of path-independent and path-dependent options, computing standard deviations, variance reduction techniques
  • Exotic options: types, application of Monte Carlo methods

This course is accredited under the Canadian Institute of Actuaries (CIA) University Accreditation Program (UAP) for the 2016-2017 academic year. Achievement of the established exemption grade in this course may qualify a student for exemptions from writing certain preliminary exams. Please note, a combination of courses may be required to achieve a single exemption. Please see http://www.cia-ica.ca/membership/uap for full details.

Grading

  • Assignments 20%
  • Midterm 30%
  • Final Exam 50%

NOTES:

All grading is subject to change.

Materials

REQUIRED READING:

Derivatives Markets, 3rd ed. Author: Robert L. McDonald. Publisher: Pearson
ISBN: 9780321543080

RECOMMENDED READING:

Options, Futures, and Other Derivatives, 9th ed. Author: John C. Hull. Publisher: Pearson
ISBN: 9780133456318

Department Undergraduate Notes:

Students with Disabilites:
Students requiring accommodations as a result of disability must contact the Centre for Students with Disabilities 778-782-3112 or csdo@sfu.ca


Tutor Requests:
Students looking for a Tutor should visit http://www.stat.sfu.ca/teaching/need-a-tutor-.html. We accept no responsibility for the consequences of any actions taken related to tutors.

Registrar Notes:

SFU’s Academic Integrity web site http://students.sfu.ca/academicintegrity.html is filled with information on what is meant by academic dishonesty, where you can find resources to help with your studies and the consequences of cheating.  Check out the site for more information and videos that help explain the issues in plain English.

Each student is responsible for his or her conduct as it affects the University community.  Academic dishonesty, in whatever form, is ultimately destructive of the values of the University. Furthermore, it is unfair and discouraging to the majority of students who pursue their studies honestly. Scholarly integrity is required of all members of the University. http://www.sfu.ca/policies/gazette/student/s10-01.html

ACADEMIC INTEGRITY: YOUR WORK, YOUR SUCCESS