If you come to this page and wonder why I don't update my blog, here is the reason : On completion of this subject the trainee actuary will be able to: (i) Discuss the advantages and disadvantages of different measures of investment risk. 1. Define the following measures of investment risk: variance of return downside semivariance of return shortfall probabilities Value at Risk (VaR) / Tail VaR 2. Describe how the risk measures listed in (i) 1. above are related to the form of an investor's utility function. 3. Perform calculations using the risk measures listed above to compare investment opportunities. 4. Explain how the distribution of returns and the thickness of tails will influence the assessment of risk. (ii) Describe and discuss the assumptions of meanvariance portfolio theory and its principal results. 1. Describe and discuss the assumptions of meanvariance portfolio theory. 2. Discuss the conditions under which application of meanvariance portfolio theory leads to the selection of an optimum portfolio. 3. Calculate the expected return and risk of a portfolio of many risky assets, given the expected return, variance and covariance of returns of the individual assets, using meanvariance portfolio theory. 4. Explain the benefits of diversification using meanvariance portfolio theory. 5. Explain what is meant by: opportunity set, efficient frontier, indifference curves and the optimum portfolio, in the context of meanvariance portfolio theory. (iii) Describe and discuss the properties of single and multifactor models of asset returns. 1. Describe the three types of multifactor models of asset returns: macroeconomic models fundamental factor models statistical factor models 2. Discuss the single index model of asset returns. 3. Discuss the concepts of diversifiable and nondiversifiable risk. 4. Discuss the construction of the different types of multifactor models. 5. Perform calculations using both single and multifactor models (iv) Describe asset pricing models, discussing the principal results and assumptions and limitations of such models. 1. Describe the assumptions and the principal results of the SharpeLintnerMossin Capital Asset Pricing Model (CAPM). 2. Discuss the limitations of the basic CAPM and some of the attempts that have been made to develop the theory to overcome these limitations. 3. Discuss the assumptions, principal results and limitations of the Ross Arbitrage Pricing Theory model (APT). 4. Perform calculations using the CAPM. (v) Discuss the various forms of the Efficient Markets Hypothesis and discuss the evidence for and against the hypothesis. 1. Discuss the three forms of the Efficient Markets Hypothesis and their consequences for investment management. 2. Describe briefly the evidence for or against each form of the Efficient Markets Hypothesis. (vi) Demonstrate a knowledge and understanding of stochastic models of the behaviour of security prices. 1. Discuss the continuous time lognormal model of security prices and the empirical evidence for or against the model. 2. Discuss the structure of autoregressive models of security prices and other economic variables, such as the Wilkie model, and describe the economic justification for such models. 3. Discuss the main alternatives to the models covered in (vi) 1. and (vi) 2. above and describe their strengths and weaknesses. 4. Perform simple calculations involving the models described above. 5. Discuss the main issues involved in estimating parameters for asset pricing models: data availability data errors outliers stationarity of underlying time series the role of economic judgement (vii) Define and apply the main concepts of Brownian motion (or Wiener Processes). 1. Explain the definition and basic properties of standard Brownian motion or Wiener process. 2. Demonstrate a basic understanding of stochastic differential equations, the Ito integral, diffusion and neanreverting processes. 3. State Ito s formula and be able to apply it to simple problems. 4. Write down the stochastic differential equation for geometric Brownian motion and show how to find its solution. 5. Write down the stochastic differential equation for the OrnsteinUhlenbeck process and show how to find its solution. (viii) Demonstrate a knowledge and understanding of the properties of option prices, valuation methods and hedging techniques. 1. State what is meant by arbitrage and a complete market. 2. Outline the factors that affect option prices. 3. Derive specific results for options which are not model dependent: Show how to value a forward contract. Develop upper and lower bounds for European and American call and put options. Explain what is meant by putcall parity. 4. Show how to use binomial trees and lattices in valuing options and solve simple examples. 5. Derive the riskneutral pricing measure for a binomial lattice and describe the riskneutral pricing approach to the pricing of equity options. 6. Explain the difference between the realworld measure and the riskneutral measure. Explain why the riskneutral pricing approach is seen as a computational tool (rather than a realistic representation of price dynamics in the real world). 7. State the alternative names for the riskneutral and stateprice deflator approaches to pricing. 8. Demonstrate an understanding of the BlackScholes derivativepricing model: Explain what is meant by a complete market. Explain what is meant by riskneutral pricing and the equivalent martingale measure. Derive the BlackScholes partial differential equation both in its basic and Garman Kohlhagen forms. Demonstrate how to price and hedge a simple derivative contract using the martingale approach. 9. Show how to use the BlackScholes model in valuing options and solve simple examples. 10. Discuss the validity of the assumptions underlying the BlackScholes model. 11. Describe and apply in simple models, including the binomial model and the BlackScholes model, the approach to pricing using deflators and demonstrate its equivalence to the riskneutral pricing approach. 12. Demonstrate an awareness of the commonly used terminology for the first, and where appropriate second, partial derivatives (the Greeks) of an option price. 13. Describe how the Greeks are used in the risk management of a portfolio of derivatives. 14. Derive the partial derivatives described above for BlackScholes European option prices and describe their general characteristics. 15. Demonstrate an understanding of the concept of deltahedging and show how to apply it. (ix) Demonstrate a knowledge and understanding of models of the term structure of interest rates. 1. Describe the desirable characteristics of a model for the termstructure of interest rates. 2. Describe, as a computational tool, the riskneutral approach to the pricing of zerocoupon bonds and interestrate derivatives for a general onefactor diffusion model for the riskfree rate of interest. 3. Describe, as a computational tool, the approach using stateprice deflators to the pricing of zerocoupon bonds and interestrate derivatives for a general onefactor diffusion model for the riskfree rate of interest. 4. Demonstrate an awareness of the Vasicek, CoxIngersollRoss and HullWhite models for the termstructure of interest rates. 5. Discuss the limitations of these onefactor models and show an awareness of how these issues can be addressed. End of Syllabus End Result : 34 students appeared and 4 passed. Your grade was FA (1% to 5% below passing marks). Yeah, I know. Shit Happens!!!


On September 14th, 2005 11:20 am (UTC), (Anonymous) replied: i was indeed drunk but that does not mean i was going to do something i do not want to do! 
On December 4th, 2006 07:33 am (UTC), (Anonymous) commented: Hello. Good day Who listens to what music? I Love songs Justin Timberlake and Paris Hilton 
On March 23rd, 2007 10:25 pm (UTC), (Anonymous) commented: Anal and Oral SeX >>> http://surl.net/0sfj <<< 
On August 29th, 2007 12:49 pm (UTC), (Anonymous) commented: enter text? test, sorry dfdf767df 
On December 11th, 2007 04:13 pm (UTC), (Anonymous) commented: hay!! good project :) senks :) 
On December 25th, 2007 05:11 am (UTC), (Anonymous) commented: good worck Single Asian girls with Asia women for Asian dating to meet a Asian wife. Asian women are oriental girls seeking asian singles from Asian personals. senks 
On February 19th, 2008 11:29 am (UTC), (Anonymous) commented: buy tramadol now carisoprodol tramadol perscription can tramadol be round tramadol ultram 50mg ultram tramadol uses cheap pharmacy refill tramadol ultram buy soma order tramadol order soma ultram tramadol not working how to get high using tramadol tramadol and pregnancy tramadol line paracetamol aceclofenac tramadol estimation by hptlc 
On May 17th, 2008 05:03 pm (UTC), (Anonymous) commented: 4qJXua 
On June 5th, 2008 01:06 pm (UTC), (Anonymous) commented: tickets_5.txt;2;2 
On July 21st, 2008 03:40 am (UTC), (Anonymous) commented: I found this blog on a google search and boy am I glad I did. I thought I heard someone mention it in a free chat room. Awesome read! 
On July 27th, 2008 03:49 pm (UTC), (Anonymous) commented: H3pxil hi! hice site! 
On July 27th, 2008 09:11 pm (UTC), (Anonymous) commented: wZdN4J hi! hice site! 
On July 29th, 2008 01:36 am (UTC), (Anonymous) commented: ztqlnc hi! hice site! 
On July 29th, 2008 05:02 am (UTC), (Anonymous) commented: WQbmM2 hi! hice site! 
On July 29th, 2008 02:06 pm (UTC), (Anonymous) commented: fET8Td hi! hice site! 
On April 8th, 2011 08:45 am (UTC), (Anonymous) commented: [b]NATO is taking over command of military operations in Libya from coalition forces, world media reported Sunday.[/b] The UN Security Council imposed the nofly zone over Libya on March 17, along with ordering "all necessary measures" to protect civilians from Muammar Gaddafi's attacks on rebelheld towns. The 28 NATO ambassadors met on Sunday to decide on further military plans in Libya. The United States transfers command for a nofly zone over Libya to NATO, while coalition forces will continue to protect civilian population from attacks by Gaddafi forces. The military operation in Libya, codenamed Odyssey Dawn, has been conducted so far jointly by 13 states, including the United States, Britain and France. NATO members decided on Thursday to assume responsibility for the enforcement of a nofly zone in Libya, but could not agree on taking full command of all military operations in the country. Meanwhile, leaders of the 27 European Union states on Thursday issued a statement saying the EU stood ready to assist in building a new Libya "in cooperation with the United Nations, the Arab League, the African Union and others." MOSCOW, March 27 (RIA Novosti) http://en.rian.ru/world/20110327/163235937.html 