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May 07, 2024
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ASC 306 - Financial Mathematics for Actuaries I - Discrete Time
Credit(s): 3
Serves as an introduction to derivative contracts and option combinations. It also covers Arbitrage-free option bounds & early exercise of American options. Arbitrage-free valuation and risk-neutral pricing are used to price vanilla and exotic contracts using the binomial asset pricing model in discrete time, and the quantitative strategies to hedge portfolios consisting of such assets are also discussed. Spring
Prerequisite(s): MTH 115, MTH 151, MTH 200, MTH 325, CIS 200, CIS 216
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