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Unformatted text preview: The University of Iowa College of Liberal Arts and Sciences Department of Statistics and Actuarial Science 22S:175 (ACTS:4230) Actuarial Models Spring Semester 2011 2:303:20 PM MWF 70 VAN Instructor: Dr. E.S.W. Shiu Office: 362 Schaeffer Hall Phone: 335 2580 Email: eliasshiu@uiowa.edu Office Hours: Monday, Tuesday and Friday, 1:30 2:30 pm, or by appointment D.E.O.: Dr. Dale Zimmerman Office: 241 Schaeffer Hall Prerequisites: Grades of C+ or higher in 22S:174 (ACTS:4130) and 22S:180 (ACTS:3080) This course is to: (i) build a bridge between 22S:180 and 183, the two Mathematics of Finance courses (22S:180 covers the syllabus of Exam FM/2, and 22S:183 covers the syllabus of MFE/3F); (ii) treat the nonlifecontingencies portion of the syllabus of Exam MLC. Topics to be covered are: Forward, Futures and Prepaid Forward Contracts, Principle of No Arbitrage, Fundamental Theorem of Asset Pricing, PutCall Parity, Binomial Model, Black Scholes Formula, Method of Conditioning, Exponential Distributions, Homogeneous and Nonhomogeneous Poisson Processes, Compound Poisson Processes, Markov Chains, Brownian Motion, Simulation. The required textbook is: S.M. Ross (2010) Introduction to Probability Models , 10 th edition, Academic Press . Copies of this book are available in the bookstore in Old Capitol Mall. This used to be a textbook for the old CAS/SOA Exam 3. (If you need to save money, you can use an earlier edition of the book.) Other references are:...
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 Spring '08
 Tang,Q

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