Actsc 631 Financial Mathematics 3 - Carole Bernard
Introduction to credit risk: types of models; types of credit derivatives. Notes: Together with Actsc 624, this course covers CT8. It also substantially covers course.
Actsc 631 Financial Mathematics 3 Syllabus - Risk measures. - Binomial and lattice models for option pricing. - Black-Scholes option pricing: assumptions, greeks, risk neutral and real world measures. - Term structure models: forward measures,single factor models including Vasicek, CoxIngersoll Ross and Hull-White; limitations of one-factor models. Insurance applications. - Introduction to credit risk: types of models; types of credit derivatives. Notes: Together with Actsc 624, this course covers CT8. It also substantially covers course MFE of the Society of Actuaries. Textbook: The text would be at the level of Options, Futures and Other Derivatives, by Hull, or Derivatives Markets, by McDonald, supplemented by course notes for more depth in the mathematics. Contact Hours: 36 lectures, 10 tutorials. Assessment: 65% final exam (unseen); 15% midterm exam (unseen); 10% project, 10% assignments.
Given a strategy with payoff XT at time T, and initial price at time 0 c(X) = E[ξT XT ]. ⢠F : XT 's distribution under the physical measure P. The distributional price is ...
In the case of Yaari's theory (when U = V ) pa = p b ... Indeed this framework is incompatible with pricing of financial claims. Assume a common stock with payoff ... and a risky asset S such that all call options (written on S) maturing at time T >
but for which we know the cdf under the physical probability. 2 when the pricing is âmarket-consistentâ. Carole Bernard. Financial Bounds for Insurance Claims. 2 ...
Insurance (CPPI) strategy, which aims to protect the value of the company's ... aversion (a so-called CRRA investor) the optimal payoff effectively consists of ...... price for Z*(T), and this will give us an insight into the inefficiency cost of the
allowing for more trading strategies and thus more degrees of freedom will further ..... Highest state-prices ξT (Ï) correspond to states Ï of bad economic ...
materialized through S* - drops below its Value-at-Risk at some high confidence level. .... An insight of this work is that if all institutional investors implement ...
actuaries who are involved in the decision process of designing insurance prudential regulation. .... since it is an industry with a high level of risk management.
materialized through S* - drops below its Value-at-Risk at some high confidence level. ..... An insight of this work is that if all institutional investors implement ...
Extension to the case when investors have state-dependent constraints. .... materialized through S* - drops below its Value-at-Risk at some high confidence level. ...... An insight of this work is that if all institutional investors implement strateg
Design, Pricing and Practice ... Numerical example. Timer-style .... higher than its exercise value when the underlying does not ..... Compare the target e piry time.
generator' of a continuous Markov process Xt if for some class D of functions f the process .... There is a unique arbitrage-free price for the contingent claim. page:6 ... moves 'up' by a factor u or 'down' by a factor d = 1/u, so that Sij = Suiâ2
Keller-Ressel, M., and J. Muhle-Karbe (2012): âAsymptotic and exact pricing of options on variance,â Finance and Stochastics, forthcoming. Carole Bernard.
establishes regulation intervention levels in order to control for instance the ..... the maturity date with the risk-free interest rate r; (c) γ â [0,1] implies that the ...
Examination of option greeks to make sure the hedge is ... We need the prices of call and put options with one month ..... develop statistic tests to detect fraud.
âEquilibrium recoveries in insurance markets with limited liabilityâ. (Discussant: R. Rogalla). 18:30-19:30. 19:30-22:00. Drinks reception - The Berkeley Hotel.
âInefficient Dynamic Portfolio Strategies or How to Throw. Away a Million Dollars in the Stock Marketâ in RFS 1988). arole Bernard. Path-dependent inefficient ...
Feb 5, 2016 - This paper proposes a new type of executive stock option contract that improves upon ... that the power option dominates the Asian option in the case of two out of three incentive ...... close to that of the geometric average. 21 ...
Underlying Indices Modeling. â· Daily returns. S (t) : closing price of index i for the trading day t r , = log (S (t + 1)/S (t)). â· GARCH(1,1) r , = i + 7 , , Ï , = + β Ï , + α ...
Choose a utility function â Find the optimal investment strategy. Opposite way. Given an ... Financial Market & Portfolio Value Process. One-dimensional market ...
Feb 10, 2012 - years. More and more basket options and complex exotic contracts depending ..... (θQ(t)) is as close as possible to the ..... out of {S1,S2,S3}.
