actsc446_2006winter

actsc446_2006winter - Fundamental Theorems of Asset Pricing

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STAT/ACTSC 446/846 MATHEMATICAL MODELS IN FINANCE WINTER 2006 Instructor : Weidong Tian, MC 6016, EXT 5395, wdtian@uwaterloo.ca Class Time : 11:30-12:20 MWF RCH302 4:30-05:20W (Tutorial), MC1085 Office Hours : 2:00-4:00 W (otherwise by appointment) TA: Catherine Zhang: j28zhang@artsmail.uwaterloo.ca Thursday 12:00pm-14:00pm Dian Zhu: dzhu@math.uwaterloo.ca Friday 3:30-5:30pm Wang Shuo: s35wang@math.uwaterloo.ca Tuesday 11:30-1:30pm OBJECTIVES: The purpose of this course is to provide an introduction to the modeling of financial derivatives. It will address basic mathematical techniques that are used to price and hedge derivatives in different asset classes. PRE-REQUISITIES : Actsc 330 or Stat 333, Actsc 231, Actsc 371 or consent of instructor. COURSE TOPICS : Financial Derivatives Instruments
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Unformatted text preview: Fundamental Theorems of Asset Pricing Cox-Ross-Rubinstein Option Pricing Theory Black-Scholes Model. REFERENCES : 1. H.H.Panjer,Ed. 1998. Financial Economics: With Applications to Investments, Insurance and Pensions, The Actuarial Foundation, Schaumburg, IL, Chapter 5, Chapter 11. 2. J.Hull. 2005. Options, Futures, and Other Derivatives, 5 th edition, Prentice Hall. Chapter 1 Chapter 14 3. Course notes (UW-ACE Angel web page) COURSE EVALUATION: will be based on assignments, one midterm and one final exam: ACTSC 446: Assignments: 10% Midterm: 25% Final: 65% ACTSC 846 : Assignments: 10% Midterm: 25% Project: 10% (Reading material) Final: 55% IMPORTANT DATE: Feb 6 (M) Midterm 11:30-12:20pm (Classroom)...
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This note was uploaded on 11/02/2011 for the course ACTSC 446 taught by Professor Adam during the Winter '09 term at Waterloo.

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actsc446_2006winter - Fundamental Theorems of Asset Pricing

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