Academic Calendar - 2024
Western University Academic Calendar. - 2024
Financial Modelling 3520A/B
FINANCIAL MODELLING I
General properties of financial options, binomial pricing model, replication, risk-neutral valuation, and the fundamental theorem of asset pricing. The Black-Scholes option valuation methodology. Option Greeks and risk management. Value-at-risk (VaR) and Conditional VaR. Monte-Carlo simulation to conduct risk analysis.
Prerequisite(s): A minimum mark of 60% in one of Business Administration 4413A/B, Financial Modelling 2557A/B; and a minimum mark of 60% in Statistical Sciences 2857A/B.
Extra Information: 3 lecture hours.
Course Weight: 0.50
Breadth:
CATEGORY C
i
Subject Code: FINMOD
This Course is Mentioned in the Following Calendar Pages:
Financial Modelling 3520A/B
FINANCIAL MODELLING I
General properties of financial options, binomial pricing model, replication, risk-neutral valuation, and the fundamental theorem of asset pricing. The Black-Scholes option valuation methodology. Option Greeks and risk management. Value-at-risk (VaR) and Conditional VaR. Monte-Carlo simulation to conduct risk analysis.
Prerequisite(s): A minimum mark of 60% in one of Business Administration 4413A/B, Financial Modelling 2557A/B; and a minimum mark of 60% in Statistical Sciences 2857A/B.
Extra Information: 3 lecture hours.
Financial Modelling 4521A/B - ADVANCED FINANCIAL MODELLING
Faculty of Science | Statistical and Actuarial Sciences | HONOURS SPECIALIZATION IN ACTUARIAL SCIENCE
Faculty of Science | Statistical and Actuarial Sciences | MAJOR IN FINANCIAL MODELLING
Faculty of Science | Statistical and Actuarial Sciences | MINOR IN APPLIED FINANCIAL MODELLING