Apr 25, 2024  
2016-2017 Graduate Catalog 
    
2016-2017 Graduate Catalog [NOTE!!!! THIS IS AN ARCHIVED CATALOG. FOR THE CURRENT CATALOG, GO TO CATALOG.NIU.EDU]

STAT 584 - Financial Derivative for Actuaries


Crosslisted with ECON 584X. Review of financial derivatives including futures, European and American options, Exotic options. Greeks, trading and hedging strategies. Pricing derivative security with appropriate boundary conditions, including Black-Scholes formula, binomial trees, lattice models and finite difference methods. Simulation and variance reduction techniques. Interest rate models. Covers all the learning outcomes regarding financial models of the exam MFE of the Society of Actuaries (SOA), which is also the Exam 3F of the Casualty Actuarial Society (CAS).

Prerequisites & Notes
PRQ: STAT 583 or consent of division.

Credits: 3