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