Spring 2019 - ACMA 815 G100
Rate of Return Models (2)
Class Number: 3956
Delivery Method: In Person
An introduction to stochastic models for the rate of return. Time series. Stochastic differential equations. Covariance equivalence principle. Applications. Students with credit for ACMA 820 may not take this course for further credit
Course runs from Jan 3rd to Feb 14th.
- Overview of basic stochastic processes used to model the interest rate/rate of return in finance and actuarial science.
- Time series: ARMA models
- SDEs: White Noise process, Brownian motion, Ornstein-Uhlenbeck process, second order stochastic differential equation, CIR, etc. Other models: Regime-Switching LogNormal, Wilkie model, …
- The main features of these processes will be investigated.
- Methods for solving systems of stochastic differential equations (SDE) arising in studying portfolios of insurance policies will be presented.
- Applications: pricing bonds, guarantees, etc.
- Estimation and calibration of the models will be discussed
- Assignments & Term Project 40%
- Final 60%
All grading is subject to change.
Rate of Return Models, G. Parker, 2013
Graduate Studies Notes:
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