Enrollment and waitlist data for current and upcoming courses refresh every 10 minutes; all other information as of 6:00 AM.
| 09/05 - 12/21 | ||||||
| M | T | W | Th | F | Sa | Su |
8:00 am |
8:00 am |
|||||
Subject: Actuarial Science (ACSC)
CRN: 40716
Lecture
St Paul: Brady Educational Center LL03
The focus of this course is on applications of probability, stochastic processes, and other mathematical tools to problems in finance. Both discrete and continuous models, including binomial, Brownian motion, and geometric Brownian motion models will be used to investigate the effects of randomness in financial markets and the behavior of financial instruments. The mathematical realization of arbitrage and hedging strategies will be examined, including the Arbitrage Theorem and the concept of risk-neutral pricing. Applications will include the pricing of equity options, currency transactions and the use of duration and convexity in fixed income analysis. The course will be of interest to students of actuarial science, mathematics, finance and economics who want to develop a better quantitative understanding of financial risk. Offered fall semester. Prerequisites: a grade of C- or above in MATH 313 or MATH 303 and ACSC 264 or a course in FINC approved by the instructor
4 Credits