ACTS 405 - Problem Lab:Actuarial Models-Financial Economics

Institution:

University of Nebraska-Lincoln

Subject:

Description:

(1 cr) Lab 1. Prereq: ACTS 440/840; FINA 467/867. Problems as posed in the Society of Actuaries ( SOA) Exam "M". Interest rate models; rational valuation of derivative securities (option pricing: put-call parity, the binomial model, Black- Scholes formula, and actuarial applications; interpretation of option Greeks and delta-hedging; features of exotic options; an introduction to Brownian motion and It?'s lemma); and risk management techniques.

Credits:

3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lab

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.unl.edu/

Phone Number:

(402) 472-7211

Regional Accreditation:

North Central Association of Colleges and Schools

Calendar System:

Semester

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