4230-spring11 - The University of Iowa College of Liberal...

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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 2:30-3:20 PM MWF 70 VAN Instructor: Dr. E.S.W. Shiu Office: 362 Schaeffer Hall Phone: 335 2580 E-mail: elias-shiu@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 non-life-contingencies 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, Put-Call 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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4230-spring11 - The University of Iowa College of Liberal...

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