Course title
V06402003
Financial and Actuarial Mathematics

 nakatsu tomonori Click to show questionnaire result at 2019
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. Pricing in one period binomial model Review of lectures 180minutes
4. Multi period binomial model Review of lectures 180minutes
5. Pricing in Multi period binomial model Review of lectures 180minutes
6. Cox-Ross-Rubinstein formula Review of lectures 180minutes
7. Mid-term exam and its review Review of lectures 270minutes
8. Finite probability space, Conditional expectation Review of lectures 180minutes
9. Martingale, Risk neutral probability Review of lectures 180minutes
10. Risk neutral probability and No arbitrage opportunity in binomial models Review of lectures 180minutes
11. Survival probability, Life table Review of lectures 180minutes
12. Principle of equivalence, Term insurance, Pure endowment, Endowment insurance Review of lectures 180minutes
13. Life annuity, Annual premium 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
Regionally-oriented
Non-regionally-oriented course
Development of social and professional independence
  • Course that cultivates an ability for utilizing knowledge
Active-learning course
About half of the classes are 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.
Education related SDGs:the Sustainable Development Goals
    Last modified : Sat Jun 20 04:13:24 JST 2020