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Financial Economics for Actuaries ACMA 340 (3)

Actuarial models and their application to insurance and financial risks. Introductory derivatives: stocks, forwards, futures, swaps. Options: types, styles, parity and other relationships. Option strategies and risk management. Discrete-time models: binomial models, multi-period models. Continuous-time models: Black-Scholes-Merton model. Monte Carlo methods. Exotic options: Asian, barrier, gap options. Prerequisite: ACMA 210 and STAT 285. Quantitative.

Section Instructor Day/Time Location
D100 Jean-Francois Begin
Mo 10:30 AM – 12:20 PM
We 10:30 AM – 11:20 AM
AQ 5008, Burnaby
WMC 3250, Burnaby
D101 Jean-Francois Begin
Fr 11:30 AM – 12:20 PM
BLU 9655, Burnaby