2022-2023 Undergraduate and Graduate Catalog 
    
    Mar 28, 2024  
2022-2023 Undergraduate and Graduate Catalog [ARCHIVED CATALOG]

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ASC 356 - Financial Mathematics for Actuaries II - Continuous Time


Credit(s): 3
Covers the rational valuation of stock and currency options and the application of option “Greeks” to solve a range of problems. It also serves as an introduction to lognormal pricing, Monte-Carlo simulations, and Brownian motion. Finally, it explores the interest rate models of Vasicek, Cox-Ross-Ingersoll, and Black-Derman-Toy to model and price derivatives on bonds. 
Prerequisite(s): ASC 206, ASC 306, MTH 250



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