The University of Western Ontario 
Department of Statistical and Actuarial Sciences

Department of Statistical & Actuarial Sciences

 

 

 

 

Course Webpage for Statistical Sciences 3520B

Winter 2014

Statistical Sciences 3520a/b – Financial Modelling I

 

Description: Discrete-time market models, option pricing and replication, risk-neutral valuation and martingale measures, and the fundamental theorem of asset pricing. Discrete-time Black-Scholes. Value-at-risk, mean-variance portfolio analysis, capital asset pricing model. Discrete-time interest rate models. Duration, convexity and immunization. Simulation.

Antirequisite(s): The former Statistical Sciences 4520A/B.

Prerequisite(s): A minimum mark of 60% in both Actuarial Science 2557A/B and Statistical Sciences 2857A/B.

3 lecture hours, 0.5 course.

 

NOTE: Before coming to each lecture, you are expected to check course updates below.

 

02 January 2014: COURSE OUTLINE

 

IMPORTANT DATES-Posting and Due Dates of Assignments

The pdf file of each particular assignment can be accessed and printed by

clicking the link to the assignment number. Solutions to assignments will be

posted within 3-4 days after the deadline. Please submit your assignments in

class by 13:20 of the due date.

Events

Posting Date

Due Date

Solutions

Assignment No.1

To download and print the marking scheme, click here.

31 Jan 2014

07 Feb 2014

Soln to Assgnmt1

Problems not required for submission

Problems required for submission

with TA Marking Guidelines (how your assignment is marked)

 

GUIDELINES to request remarking of assignment and midterm exam papers

 

In class exam 1

 

Midterm Exam 1

28 Feb 2014

7-9PM

 

COVERAGE: Lectures from start of the term until lectures given in the week of 27-30 Jan 2014 (including futures options but excluding binomial option pricing). Futures options will be briefly discussed on 03 Feb 2014.

 

Midterm Exam 1 Guidelines

 

VENUE: NCB (North Campus Bldg) 117

 

 

Soln Exam1 -- Copies of the solutions will be distributed after the exam.

 

GUIDELINES to request remarking of assignment and midterm exam papers

Assignment No.2

To download and print the marking scheme, click here.

 

05 Mar 2014

12 Mar 2014

Soln to Assgnmt2

Problems not required for submission

Problems required for submission (with TA marking guidelines)

 

GUIDELINES to request remarking of assignment and midterm exam papers

 

In class exam 2

 

Midterm Exam 2

21 Mar 2014

7-9PM

Midterm Exam 2 Guidelines

 

VENUE: NCB (North Campus Bldg) 117

 

Soln Exam2 -- Copies of the solutions will be distributed after the exam.

 

GUIDELINES to request remarking of assignment and midterm exam papers

 

 

Assignment No.3

To download and print the marking scheme, click here.

 

 

28 Mar 2014

04 Apr 2014

Soln to Assgnmt3

Problems not required for submission

Problems required for submission

 

GUIDELINES to request remarking of assignment and midterm exam papers

 

Three-hour final exam

 

FINAL EXAM GUIDELINES

 

Time: 2-5pm

Date: Thursday, 17 April 2014 VENUE: UCC 56

Coverage:

All lecture materials covered in the course.

 

 

 


UPDATES!!!

07 April 2014 NEW               

o     Solutions to Required Problems in Assignment No.3 are now available for download from the link above.

o     Marked Assignment No.3 papers will be returned after the final exam on the 17th of April. Please submit remarking request (if applicable to your case) by the 22nd of April. Remarking requests must be placed in an envelope addressed to the instructor. Please ask Jane Bai to put your remarking document in the instructor’s mailbox.

 

31 March 2014      

o     Required Problem #2 of last assignment: Change r = 0.05 to r = 0.005 (i.e., 0.5%).

o     FINAL EXAM GUIDELINES

o     Lecture summary – Week of 24- 28 March 2014 AND 31 March 2014 – to be posted after the 31 March 2014 lecture.

         

22 March 2014      

o     Solutions to problems (not required for submission) in Assignment No. 3 are now available for download from the link above.

o     PDF copy of Assignment No. 3 along with the Marking Scheme are now available for download from the links above.

o     Topics to be covered – Week of 24 - 28 March 2014

o     Lecture summary – Week of 17- 21 March 2014

         

14 March 2014

o     Topics to be covered – Week of 17- 21 March 2014

o     Lecture summary – Week of 10- 14 March 2014

         

12 March 2014

o     Solutions to Required Problems in Assignment No.2 are now available for download from the link above.

 

08 March 2014

o     Solution to the Unfinished Example in the 07 March 2014 lecture relevant to Assignment No. 2

o     Topics to be covered – Week of 10- 14 March 2014

o     Lecture summary – Week of 03- 07 March 2014

         

05 February 2014 

o     Read carefully the Midterm Exam 2 Guidelines from the link above.

o     Solutions to problems (not required for submission) in Assignment No. 2 are now available for download from the link above.

o     PDF copies of Assignment No. 1 and Marking Scheme can now be downloaded from the links above.

 

01 March 2014 

o     Topics to be covered – Week of 03- 07 March 2014

o     Lecture summary – Week of 24- 28 February 2014

                                                 

16 February 2014

o     Topics to be covered – Week of 24- 28 February 2014

o     Lecture summary – Week of 10 -14 February 2014

 

08 February 2014 

o     Solutions to Required Problems in Assignment No.1 are now available for download from the link above.

o     Topics to be covered – Week of 10- 14 February 2014

o     Lecture summary – Week of 03 -07 February 2014

 

04 February 2014 

o     A couple of typos in Assignment 1 were corrected; they are highlighted in red.

 

01 February 2014 

o     Read carefully the Midterm Exam 1 Guidelines from the link above.

o     Solutions to problems (not required for submission) in Assignment No. 1 are now available for download from the link above.

o     Topics to be covered – Week of 03- 07 February 2014

o     Lecture summary – Week of 27 -31 January 2014 [COVERAGE OF FIRST MIDTERM WILL BE UNTIL THIS SUMMARY OF LECTURES (PLUS FUTURES OPTIONS TO BE SUMMARISED ON 03 FEB 2014) EXCEPT THE BINOMIAL OPTION PRICING.]

 

31 January 2014 

o     PDF copies of Assignment No. 1 and Marking Scheme can now be downloaded from the links above.

 

25 January 2014

o     Venue of midterm exams 1 and 2 – North Campus Bldg (NCB) 117

o     Topics to be covered – Week of 27- 31 January 2014

o     Lecture summary – Week of 20 -24 January 2014

 

19 January 2014 

o     Topics to be covered – Week of 20-24 January 2014

o     Lecture summary – Week of 13-17 January 2014

 

11 January 2014

o     Topics to be covered – Week of 13-17 January 2014

o     Lecture summary – Week of 06-10 January 2014

o     PDF of third-lecture presentation – 10 Jan 2014 lecture

 

09 January 2014 

o     PDF of second-lecture presentation – 08 Jan 2014 lecture

 

07 January 2014

o     PDF of first-lecture presentation

 

02 January 2014

o     A pdf copy of the Course Outline can be downloaded from the above link.


 

 

 

 

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