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Models for Financial Economics ACMA 440 (3)

Advanced actuarial models and their application to insurance and financial risks. Introduction to stochastic calculus: Ito's lemma, risk neutrality. Fundamental theorems of asset pricing. Black-Scholes-Merton partial differential equations. Exotic options. Monte Carlo methods. Advanced option pricing models. Implied volatility. Actuarial applications. Covers part of the syllabus for Exam IFM of the Society of Actuaries. This course is accredited under the University Accreditation Program of the Canadian Institute of Actuaries. Prerequisite: ACMA 320 and ACMA 340. Quantitative.

Section Instructor Day/Time Location
D100 Jean-Francois Begin
Mo 8:30 AM – 10:20 AM
We 8:30 AM – 9:20 AM
WMC 3250, Burnaby
WMC 3250, Burnaby
D101 We 1:30 PM – 2:20 PM
AQ 5015, Burnaby