Academic Calendar - 2018

Western University Academic Calendar. - 2018

Courses


Course Numbering

0001-0999* Pre-University level introductory courses
1000-1999 Year 1 courses
2000-4999 Senior-level undergraduate courses
5000-5999 Professional Degree courses in Dentistry, Education, Law, Medicine and Theology (MTS, MDiv)
6000-6999 Courses offered by Continuing Studies
9000-9999 Graduate Studies courses

* These courses are equivalent to pre-university introductory courses and may be counted for credit in the student's record, unless these courses were taken in a preliminary year. They may not be counted toward essay or breadth requirements, or used to meet modular admission requirements unless it is explicitly stated in the Senate-approved outline of the module.


Suffixes

no suffix 1.0 course not designated as an essay course
A 0.5 course offered in first term
B 0.5 course offered in second term
A/B 0.5 course offered in first and/or second term
E 1.0 essay course
F 0.5 essay course offered in first term
G 0.5 essay course offered in second term
F/G 0.5 essay course offered in first and/or second term
H 1.0 accelerated course (8 weeks)
J 1.0 accelerated course (6 weeks)
K 0.75 course
L 0.5 graduate course offered in summer term (May - August)
Q/R/S/T 0.25 course offered within a regular session
U 0.25 course offered in other than a regular session
W/X 1.0 accelerated course (full course offered in one term)
Y 0.5 course offered in other than a regular session
Z 0.5 essay course offered in other than a regular session

Glossary


Prerequisite

A course that must be successfully completed prior to registration for credit in the desired course.


Corequisite

A course that must be taken concurrently with (or prior to registration in) the desired course.


Antirequisite

Courses that overlap sufficiently in course content that both cannot be taken for credit.


Essay Courses

Many courses at Western have a significant writing component. To recognize student achievement, a number of such courses have been designated as essay courses and will be identified on the student's record (E essay full course; F/G/Z essay half-course).


Principal Courses

A first year course that is listed by a department offering a module as a requirement for admission to the module. For admission to an Honors Specialization module or Double Major modules in an Honors Bachelor degree, at least 3.0 courses will be considered principal courses.



Campus





Course Level






Course Type




Financial Modelling


Goal and governance of firms, bond and stock pricing, risk and return, portfolio theory, Capital Asset Pricing Model, capital budgeting, market efficiency, corporate financing.



Extra Information: 3 lecture hours.

Course Weight: 0.50
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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%.

Extra Information: 3 lecture hours, 1 tutorial hour.

Course Weight: 0.50
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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.

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.

Extra Information: 3 lecture hours.

Course Weight: 0.50
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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).

Extra Information:3 lecture hours.

Course Weight: 0.50
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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.


Extra Information: 3 lecture hours.

Course Weight: 0.50
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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 Sciences 4521F/G, the former Financial Modelling 4521F/G.

Prerequisite(s): A minimum mark of 60% in either Financial Modelling 3520A/B (or the former Stat Sci 3520A/B), or Financial Modelling 3613A/B (or the former Applied Mathematics 3613A/B) and a minimum mark of 60% in Stat Sci 2857A/B.

Extra Information: 3 lecture hours.

Course Weight: 0.50
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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.

Course Weight: 0.50
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