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Academic Calendar 2017 UNDERGRADUATE COURSE INFORMATION Financial Modelling (S)
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Financial Modelling (S)
Financial Modelling 2555A/B - Corporate Finance
Goal and governance of firms, bond and stock pricing, risk and return, portfolio theory, Capital Asset Pricing Model, capital budgeting, market efficiency, corporate financing.
Antirequisite(s): Management and Organizational Studies 2310A/B, 3310A/B, the former Actuarial Science 2555A/B.
Prerequisite(s):
Corequisite(s):
Extra Information: 3 lecture hours, 0.5 course.
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Financial Modelling 2557A/B - Financial Markets and Investments
Basic securities, financial market conventions, swaps, arbitrage pricing and hedging of forwards/futures, equity options, bonds, theories of the term structure, factors affecting option prices, arbitrage relations of calls and puts, trading strategies involving options, binomial model for stock prices, option pricing by replication under the binomial model.
Antirequisite(s): Business Administration 4413A/B, the former Actuarial Science 2557A/B.
Prerequisite(s): A minimum mark of 60% in Calculus 1501A/B or Applied Mathematics 1413, or Calculus 1301A/B with a minimum mark of 85%.
Corequisite(s):
Pre-or Corequisite(s):
Extra Information: 3 lecture hours, 1 tutorial hour, 0.5 course.
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Financial Modelling 3520A/B - Financial Modelling I
Discrete-time market models, option pricing and replication, risk-neutral valuation and martingale measures, and the fundamentaltheorem of asset pricing. Discrete-time Black-Scholes. Value-at-risk, mean-variance portfolio analysis, capital asset pricing model. Discrete-time interest rate models. Duration, convexity and immunization. Simulation.
Antirequisite(s): The former Statistical Sciences 3520A/B.
Prerequisite(s): A minimum mark of 60% in one of Business Administration 4413A/B, Financial Modelling 2557A/B, the former Actuarial Science 2557A/B; and a minimum mark of 60% in Statistical Sciences 2857A/B.
Corequisite(s):
Pre-or Corequisite(s):
Extra Information: 3 lecture hours, 0.5 course.
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Financial Modelling 3613A/B - Mathematics of Financial Options
An introduction to modern financial mathematics using a differential equations approach. Stochastic differential equations and their related partial differential equations. The Fokker-Planck and Kolmogorov PDEs. No-arbitrage pricing, the Black-Scholes equation and its solutions. American options. Exotic options.
Antirequisite(s): The former Applied Mathematics 3613A/B.
Prerequisite(s): Applied Mathematics 2402A or the former Differential Equations 2402A; or Statistical Sciences 2503A/B (or the former Applied Mathematics 2503A/B).
Corequisite(s):
Pre-or Corequisite(s):
Extra Information: 3 lecture hours, 0.5 course.
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Financial Modelling 3817A/B - Optimization Methods for Financial Modelling
An introduction to linear programming, simplex method, duality theory and sensitivity analysis, formulating linear programming models, nonlinear optimization, unconstrained and constrained optimization, quadratic programming. Applications in financial modelling (investment portfolio selection).
Antirequisite(s): The former Applied Mathematics 3817A/B.
Prerequisite(s): Mathematics 1600A/B and one of Calculus 2302A/B, 2502A/B or 2402A/B.
Corequisite(s):
Pre-or Corequisite(s):
Extra Information: 3 lecture hours, 0.5 course.
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Financial Modelling 4521A/B - Advanced Financial Modelling
Continuous-time models, Brownian motion, stochastic integrals, Ito's lemma. Black-Scholes-Merton market model, arbitrage and market completeness, Black-Scholes PDE, risk-neutral pricing and martingale measures. Greeks and hedging, extensions of Black-Scholes model, implied volatility, American option valuation. Vasicek and Cox-Ingersoll-Ross interest rate models.
Antirequisite(s): The former Statistical Modelling 4521F/G, the former Financial Modelling 4521F/G.
Prerequisite(s): A minimum mark of 60% in either Financial Modelling 3520A/B (or the former Statistical Sciences 3520A/B), or Financial Modelling 3613A/B (or the former Applied Mathematics 3613A/B) and a minimum mark of 60% in Statistical Sciences 2857A/B.
Corequisite(s):
Pre-or Corequisite(s):
Extra Information: 3 lecture hours, 0.5 course.
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Financial Modelling 4998F/G/Z - Project in Financial Modelling
The student will work on a project under faculty supervision. The project may involve an extension, or more detailed coverage, of material presented in other courses. Credit for the course will involve a written report as well as an oral presentation.
Antirequisite(s): Actuarial Science 4997F/G/Z, Statistical Sciences 4999F/G/Z, the former Statistical Sciences 4998F/G/Z.
Prerequisite(s): Registration in the fourth year of the Honors Specialization in Actuarial Science, Statistics, or Financial Modelling. Students must have a modular course average of at least 80% and must find a faculty member to supervise the project.
Corequisite(s):
Pre-or Corequisite(s):
Extra Information: 0.5 course.
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Academic Calendar 2017 UNDERGRADUATE COURSE INFORMATION Financial Modelling (S)
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