ACT460H1: Stochastic Methods for Actuarial Science

Hours: 
36L

Applications of the lognormal distribution, Brownian motion, geometric Brownian motion, martingales, Ito's lemma, stochastic differential equations, interest rate models, the Black-Scholes model, volatility, value at risk, conditional tail expectation.

Prerequisite: 

ACT350H1/​STA347H1. (ACT370H1 strongly recommended)

Distribution Requirements: 
Science
Breadth Requirements: 
The Physical and Mathematical Universes (5)