Western University Academic Calendar. - 2018ARCHIVE
Financial Modelling 3520A/B
FINANCIAL MODELLING I
Discrete-time market models, option pricing and replication, risk-neutral valuation and martingale measures, and the fundamental theorem 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.