Lecture on 10th of May

In the previous lecture we looked at the equation satisfied by the prospective reserve of a unit-linked pure endowment, namely Thiele's partial differential equation. We also went through Exercises 8&9 where we looked at the Black and Scholes pricing formula.

Next week, we will do a small repetition of the main results of this course and after that we will go through the Exam from 2014 (Except Problem 4).

Please prepare Problems 3&4 from Exercises 9.

You can find the exam from 2014 in the exercises folder.