F71AK - Financial Economics for Actuarial Science
Course leader(s):
Aims
Provide a grounding in the principles of actuarial modelling, focusing on stochastic asset models, the valuation of financial derivatives and the pricing of assets and options.
Syllabus
1. Revision of key concepts from financial economics (1.1 Arbitrage and efficient markets)
2. The properties of derivatives (2.1 Forward contracts, European and American put and call options)
3. Binomial option pricing models
4. Black-Scholes-Merton Option Pricing Model and the Greeks
5. Interest rate and credit models
Learning outcomes
By the end of the course, students should be able to do the following:
- demonstrate a knowledge and critical understanding of fundamental ideas from financial economics including efficient markets and arbitrage. Apply these concepts to the pricing of financial products.
- demonstrate a knowledge and understanding of the properties of derivatives.
- demonstrate a knowledge and critical understanding of binomial options pricing models. Apply this to the pricing of options.
- apply the Black-Scholes-Merton model to value options in simple examples. Demonstrate an awareness of the Greeks of an option price.
- demonstrate a knowledge and understanding of simple models for credit risk.
Further details
Curriculum explorer: Click here
SCQF Level: 11
Credits: 15
