MAT011 - Financial Maths and Modern Acturial Risk Theory
The module builds upon ideas from Probability Theory and Stochastic Processes. The module provides a solid but understandable treatment of a number of topics in Finance and Insurance. These topics are oriented towards of stochastic models in real-life situations. This module is aimed at the students who wish to gain a working knowledge of financial engineering, risk-management and insurance business. Specifically it aims to develop an advanced understanding of:
- the financial markets and financial models;
- risk-neutral pricing and hedging strategies, methods, tools and techniques;
- risk models for aggregative claims for insurance business and ruin theory
- statistical analysis and simulation techniques of financial and insurance data.
The following books are recommended texts for this module:-
Avellaneda, M. and Laurence P. (2000) “Quantitative Modelling of Derivative Securities”, Chapman and Hall, London.
Baz, J. and Chacko G (2004) “ Financial Derivatives”, Cambridge University Press, Cambridge.
Dickson, C.M. (2005) “ Insurance Risk and Ruin” , Cambridge University Press, Cambridge.
Shreve, S.E. (2004) “Stochastic Calculus for Finance; I (The Binomial Asset Pricing Models), II (Continuous Time Models)”, Springer, Berlin.
Wilmott, P. (1998) “Derivatives: The theory and Practice of Financial Engineering”, J.Wiley, New York.
Asmussen, S (2000) “ Ruin Probability”, World Scientific, London.
Boland, Ph.J. (2007) “Statistical and Probabilistic Models in Actuarial Sciences”, CRC Press.
Other materials will be given to the students by the lecturer to support students as required.