Overview
Offerings
Requisites
Contacts
Chief Examiner(s)
Notes
IMPORTANT NOTICE:
Scheduled teaching activities and/or workload information are subject to change in response to COVID-19, please check your Unit timetable and Unit Moodle site for more details.
Learning outcomes
understand the modern approach to evaluation of uncertain future payoffs
understand the concepts of arbitrage and fair games and their relevance to finance and insurance
understand the concepts of conditional expectation and martingales and their relation to pricing of financial derivatives
understand the random processes such as Random Walk, Brownian Motion and Diffusions and be able to apply them for modelling real life processes and risk models
use Ito's formula
price options by using the Binomial and Black-Scholes models
simulate the price process and obtain prices by simulation
formulate discrete time Risk Model in Insurance and use it for control of probabilities of ruin.