Academic Calendar - 2024
Western University Academic Calendar. - 2024
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.
Pre-or Corequisite(s): Actuarial Science 2553A/B or Actuarial Science 2053.
Extra Information: 3 lecture hours.
Course Weight: 0.50
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Interest rate determinants. Duration, convexity and immunization. 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.
Antirequisite(s): Business Administration 4413A/B.
Prerequisite(s): A minimum mark of 60% in one of Calculus 1501A/B, Numerical and Mathematical Methods 1414A/B, the former Applied Mathematics 1414A/B, or the former Applied Mathematics 1413, or a minimum mark of 85% in Calculus 1301A/B. Integrated Science 1001X with a minimum mark of 60% can be used in place of Calculus 1301A/B.
Extra Information: 3 lecture hours, 1 tutorial hour.
Course Weight: 0.50
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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
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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.
Prerequisite(s): Applied Mathematics 2402A/B or the former Differential Equations 2402A; or Statistical Sciences 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).
Prerequisite(s): Mathematics 1600A/B and one of Calculus 2302A/B, Calculus 2502A/B or Calculus 2402A/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.
Prerequisite(s): A minimum mark of 60% in either Financial Modelling 3520A/B, or Financial Modelling 3613A/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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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.
Prerequisite(s): Registration in the fourth year of the Honours 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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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.
Pre-or Corequisite(s): Actuarial Science 2553A/B or Actuarial Science 2053.
Extra Information: 3 lecture hours.
Course Weight: 0.50
Return to top
Interest rate determinants. Duration, convexity and immunization. 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.
Antirequisite(s): Business Administration 4413A/B.
Prerequisite(s): A minimum mark of 60% in one of Calculus 1501A/B, Numerical and Mathematical Methods 1414A/B, the former Applied Mathematics 1414A/B, or the former Applied Mathematics 1413, or a minimum mark of 85% in Calculus 1301A/B. Integrated Science 1001X with a minimum mark of 60% can be used in place of Calculus 1301A/B.
Extra Information: 3 lecture hours, 1 tutorial hour.
Course Weight: 0.50
Return to top
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
Return to top
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.
Prerequisite(s): Applied Mathematics 2402A/B or the former Differential Equations 2402A; or Statistical Sciences 2503A/B.
Extra Information:3 lecture hours.
Course Weight: 0.50
Return to top
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).
Prerequisite(s): Mathematics 1600A/B and one of Calculus 2302A/B, Calculus 2502A/B or Calculus 2402A/B.
Extra Information: 3 lecture hours.
Course Weight: 0.50
Return to top
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.
Prerequisite(s): A minimum mark of 60% in either Financial Modelling 3520A/B, or Financial Modelling 3613A/B and a minimum mark of 60% in Statistical Sciences 2857A/B.
Extra Information: 3 lecture hours.
Course Weight: 0.50
Return to top
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.
Prerequisite(s): Registration in the fourth year of the Honours 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.