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If you have any suggestions/ comments in order to improve the course please fill the form you will find here 

There was a computational mistake in the solution of Exercise 6. This has been fixed and notice that now the contingent claim is X=(2,1,1,2,3).

Exercise 8 in the list is about the binomial model, which I explained the last week, and as I told you in the previous message this topic is not for the final exam.

As this is the first time this course is offered, I give you some information about the structure of the final written exam, so you know what to expect. 

The exam will consist of 4 problems and you will have 4 hours to solve them.

Problem 1: It will contain 3 sections, 10 points each. This problem will cover time value of money, futures, forwards and options. Check the exercises and basic definitions about these topics 

Problem 2: It will contain 3 sections, 10 points each. This problem will cover single period markets. Make sure you know how to state basic definitions and main results.

The first two problems will be similar to the problem in the compulsory assignment, see here. 

Problem 3: It will contain 2 sections, 10 points and 20 points. This problem will cover multiple period markets. Make sure you know how t...

Please check the definitive syllabus for the course here.

I have uploaded the resolution of the exercises in list 4 (handwritten)

In addition, you can find here the resolution of exercise 7 of list 4, in detail and typed in latex.

Please find here the suggested solutions for the compulsory midterm assignment.

In the previous version of the midterm assignment there were some typos.

I'VE CORRECTED THEM. PLEASE DOWNLOAD AGAIN THE PDF FILE AND YOU WILL HAVE THE CORRECTED VERSION.

Here you find the compulsory assignment. Please read carefully the instructions. The deadline to hand in the assignment is November 1, 2018.

I have uploaded the LaTex version of the first three lectures.

Frederik Stihler (frederik.stihler "at" web.de) and Katja Stolyarova (stolyarova.katja "at" gmail.com) are the student representatives for this course. You can contact them regarding any feedback you may about the course.

Students who are interested in actuarial mathematics are encouraged to follow the invitation of the Actuarial Society of South Africa to participate in the 2019 IAA Colloquium. See here for more information about this event.

Welcome to the course!

Please find a detailed (tentative) syllabus for the course here.

I will announce in advance the topics covered in each lecture in the schedule webpage.