Financial Economics for Actuaries II - ACS 621

The Lognormal Model, Monte Carlo valuation, Diffusion process and Ito’s Lemma; Black-Scholes partial differential equation; Volatility estimation and stochastic volatility pricing models; how Black-Scholes and binomial analysis apply to bonds and interest rate derivatives. This course covers the second part of SOA MFE exam and its equivalent CT8 (Core Technical) exam of the Institute of Actuaries. Prerequisite: ACS 620.