FALL 2014
ACTS 4302
Principles of Actuarial Models: Financial Economics (Exam 3F/MFE)
Time: TR 10
^{00}
am - 11
^{15}
am
Location:
FO 3.222
Office Hour: TR 1
^{00}
pm - 2
^{00}
pm or by appointment
Instructor:
Natalia A. Humphreys
Office:
FO 2.402E
Phone:
(972) 883-6597
Fax:
(972) 883-6622
Email:
natalia.humphreys@utdallas.edu
Course Materials
Exam Information
Syllabus
Formula Summary
Tables
Lecture Notes
Lesson 0: Review of derivative instruments
Lesson 1: Put-Call Parity
Lesson 2: Comparing Options
Lesson 3: Binomial Trees - Stock, One Period
Lesson 4: Binomial Trees - General
Lesson 5: Option Prices - Other Valuation Methods
Lesson 6: Early Exercise of Options and Alternative Trees
Lesson 7.1: Modeling stock prices with the lognormal distribution
Lesson 7.2: Pricing European options using the lognormal parameters
Lesson 8: Fitting stock prices to a lognormal distribution
Lesson 9: The Black-Scholes formula
Lesson 10: The Black-Scholes formula: Greeks
Lesson 11: The Black-Scholes formula: applications and volatility
Lesson 12: Delta Hedging
Lesson 13: Part I. Asian Options.
Lesson 13: Part II. Barrier options.
Lesson 13: Part III. Compound Options.
Lesson 14: All-or-nothing, Gap, Exchange and Chooser Options.
Lesson 15: Monte Carlo Valuation.
Lesson 16: Brownian Motion.
Lesson 17: Itô's Lemma
Homework
Homework 1
- Lesson 0: Review of derivative instruments. Lesson 1: Put-Call Parity. Due: September 4, 2014 (Thurs)
Solution to Homework 1
Homework 2
- Lesson 2: Comparing Options. Lesson 3: Binomial Trees - Stock, One Period. Due: September 11, 2014 (Thurs)
Solution to Homework 2
Homework 3
- Lesson 4: Binomial Trees - General. Lesson 5: Option Prices - Other Valuation Methods. Due: September 18, 2014 (Thurs)
Solution to Homework 3
Homework 4
- Lesson 6: Binomial Trees: Miscellaneous Topics. Lesson 7: Modeling stock prices with the lognormal distribution. Due: September 30, 2014 (Tue)
Solution to Homework 4
Homework 5
- Lesson 8: Fitting stock prices to a lognormal distribution. Lesson 9: The Black-Scholes formula. Lesson 10: The Black-Scholes formula: Greeks. Due: October 14, 2014 (Tue)
Solution to Homework 5
Homework 6
- Lesson 11: The Black-Scholes formula: applications and volatility. Lesson 12: Delta hedging. Due: October 23, 2014 (Thurs)
Solution to Homework 6
Homework 7
- Lesson 13: Asian, Barrier, and Compound options. Due: November 4, 2014 (Tue)
Solution to the problems similar to the ones in HW 7
Homework 8
- Lesson 14: Gap, Exchange, and Other Options. Due: November 11, 2014 (Tue)
Solution to the problems similar to the ones in HW 8
Homework 9
- Lesson 15: Monte Carlo Valuation. Due: December 2, 2014 (Tue)
Solution to Homework HW 9
Homework 10
- Lesson 16: Brownian Motion. Lesson 17: Ito's Lemma, Black-Scholes Equation. Due: December 9, 2014 (Tue)
Solution to Homework HW 10
Exams
Midterm I: Thursday, October 9, 2014, 10:00 am - 11:15 am, FO 3.222
Midterm II: Thursday, November 20, 2014, 10:00 am - 11:15 am, FO 3.222
Final Exam: Thursday, December 18, 2014, 11:00 am - 1:45 pm, FO 3.222