Course title
V06402003
Financial Engineering

 nakatsu tomonori Click to show questionnaire result at 2018
Course description
Lectures on Financial and Actuarial Mathematics
Purpose of class
Learn basics of Financial and Actuarial Mathematics
Goals and objectives
  1. Learn pricing of financial products in Binomial models
  2. Learn relationship between risk neutral probability and no arbitrage
  3. Learn basics of Actuarial mathematics
Language
Japanese
Class schedule

 Class schedule HW assignments (Including preparation and review of the class.) Amount of Time Required
1. Guidance, interest rates, discount factor, derivatives, arbitrage opportunity Review of lectures 180minutes
2. One period binomial model Review of lectures 180minutes
3. Multi period binomial model Review of lectures 180minutes
4. Finite probability space, Conditional expectation Review of lectures 180minutes
5. Martingale, Risk neutral probability Review of lectures 180minutes
6. Risk neutral probability and No arbitrage opportunity in binomial models Review of lectures 180minutes
7. Mid-term exam and its review Review of lectures 270minutes
8. Survival probability, Life table Review of lectures 180minutes
9. Principle of equivalence, Life annuity, Review of lectures 180minutes
10. Term insurance, Endowment insurance Review of lectures 180minutes
11. Pure endowment Review of lectures 180minutes
12. Insurance premiums return with insurance Review of lectures 180minutes
13. Recursive formula, Valuation reserve Review of lectures 180minutes
14. Final exam and its review Review of lectures 270minutes
Total. - - 2700minutes
Relationship between 'Goals and Objectives' and 'Course Outcomes'

 Mid-term exam Final exam Total.
1. 35% 0% 35%
2. 15% 20% 35%
3. 0% 30% 30%
Total. 50% 50% -
Evaluation method and criteria
Mid-term exam and Final exam (Depending on the situation, reports will be added to the evaluation)
Textbooks and reference materials
The following would be helpful:
・「ファイナンスのための確率解析I」S.E.シュリーヴ著、丸善出版
Prerequisites
Nothing special
Office hours and How to contact professors for questions
  • e-mail
Relation to the environment
Non-environment-related course
Regionally-oriented
Non-regionally-oriented course
Development of social and professional independence
  • Course that cultivates an ability for utilizing knowledge
Active-learning course
More than one class is interactive
Course by professor with work experience
Work experience Work experience and relevance to the course content if applicatable
Applicatable Nakatsu worked at a financial institute for 4 years.
Last modified : Thu Mar 21 15:21:20 JST 2019