Year 4 (Midterm)
I SCMA459 Investment Science II
Introduction to Derivatives
Forward Contracts
Futures Contracts
Options
Payoffs
Examples
Introduction to Derivative Pricing
Arbitrage opportunity
Forward price
Put-Call parity for European options
Upper and lower bounds on European option prices
Call option
Put option
Upper and lower bounds on American option prices
Call option
Put option
Option Strategies
Binomial Model
Notations
Arbitrage-free condition
Risk-Neutral Probability (Martingale)
II SCMA470 Risk Analysis and Credibility
Basic Probability Concepts
Moments
Moment Generating Function (MGF)
Probability Generating Function (PMF)
Model Fitting
Pearson chi-square goodness-of-fit statistic
Loss Distributions
Exponential distribution
Gamma distribution
Lognormal distribution
Pareto distribution
Deductibles and Reinsurance
Deductibles
Excess of Loss Reinsurance
Mixed Distribution
Collective Risk Model
Conditional Expectation and Variance
Compound Distribution
Compound Poisson,
\(\mathcal{CP}(\lambda,F_X)\)
III SCMA479 Survival Analysis
Introduction to Survival Models
Hazard rate function
Exponential function
Estimating Lifetime Distribution
Study types
Nonparametric method
Empirical df
Greenwood’s Formula
IV SCMA477 Life Contingencies II
Benefit Reserves
Recursion Relation
UNOFFICIAL notes
Option Strategies
Straddle
: long call option + long put option with same underlying asset, strike price and maturity time
Collar
: short call option (higher strike price) + long put option with same underlying asset and maturity time.