Actuarial Mathematics II

Miles College

CourseMA 416

This course has an in depth study of the normal and log-normal distributions, the simple random walk, basics of stochastic calculus, the Samuelson (geometric Brownian motion) stock-price model and the Black-Scholes formula, analysis of option Greeks, market making, non-deterministic interest rate models both discrete and continuous-time), bond pricing. Monte-Carlo simulations.

Credits

3 credits

Course Code

MA 416