Financial Economics for Actuaries II - ACS 621
This course covers the Lognormal
Model, Monte Carlo valuation, diffusion
process and Ito’s Lemma, Black-Scholes partial
differential equation, volatility estimation and
stochastic volatility pricing models. It also studies
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.