Please note:

To view the Fall 2017 Academic Calendar go to http://www.sfu.ca/students/calendar/2017/fall.html

Models for Financial Economics ACMA 440 (3)

Advanced actuarial models and their application to insurance and financial risks. Exotic options. Market-making, hedging and option greeks. Introduction to stochastic calculus: Ito's lemma, risk neutrality, fundamental theorems of asset pricing. Interest rate modelling and derivatives. Advanced option pricing models. Implied volatility and empirical issues. Actuarial applications: variable annuities. Prerequisite: ACMA 320 and ACMA 340. Quantitative.