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Nov 23, 2024
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AC 4303 - AS Lab III: Applications of Investment and Financial Markets3 lecture hours 0 lab hours 3 credits
Course Description
This course is the second in the sequence of two courses offered to prepare students for Exam IFM of the Society of Actuaries. This course will cover the topics that are not covered in AC 4204 and will also cover applications of all the concepts taught in AC 4204 and at the beginning of this course. (prereq: AC 4204 )
Course Learning Outcomes
Upon successful completion of this course, the student will be able to:
- Understand how binomial trees can be used to approximate the prices of both European and American call and put options on various underlying assets
- Understand how the Black-Scholes formula can be used to form the prices of European and American call and put options on various underlying assets
- Understand the importance of option Greeks and risk management techniques in forming hedged asset portfolios that include positions in both options and the underlying asset
- Apply all the concepts learned in AC 4204 and the three topics above to actuarial problems
Prerequisites by Topic
- Calculus
- Probability
- Corporate finance
- Interest theory
Course Topics
- Binomial pricing models
- Black-Scholes option pricing modal
- Option Greeks and risk management
- Apply all the concepts learned in AC 4204 and the three topics above to actuarial problems
Coordinator
Dr. Brandon Reid
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