?

Log in

No account? Create an account

Puneet · Nayyar


If you come to this page and wonder why I don't update my blog, here…

Recent Entries · Archive · Friends · Profile

* * *
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 semi-variance 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 mean-variance portfolio theory and its principal results.
1. Describe and discuss the assumptions of mean-variance portfolio theory.
2. Discuss the conditions under which application of mean-variance 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 mean-variance portfolio theory.
4. Explain the benefits of diversification using mean-variance portfolio theory.
5. Explain what is meant by: opportunity set, efficient frontier, indifference curves and the optimum portfolio, in the context of mean-variance 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 non-diversifiable risk.
4. Discuss the construction of the different types of multifactor models.
5. Perform calculations using both single and multi-factor 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 Sharpe-Lintner-Mossin 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 log-normal model of security prices and the empirical evidence for or against the model.
2. Discuss the structure of auto-regressive 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 nean-reverting 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 Ornstein-Uhlenbeck 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 put-call parity.
4. Show how to use binomial trees and lattices in valuing options and solve simple examples.
5. Derive the risk-neutral pricing measure for a binomial lattice and describe the riskneutral pricing approach to the pricing of equity options.
6. Explain the difference between the real-world measure and the risk-neutral measure. Explain why the risk-neutral 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 risk-neutral and state-price deflator approaches to pricing.
8. Demonstrate an understanding of the Black-Scholes derivative-pricing model:
Explain what is meant by a complete market.
Explain what is meant by risk-neutral pricing and the equivalent martingale measure.
Derive the Black-Scholes 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 Black-Scholes model in valuing options and solve simple examples.
10. Discuss the validity of the assumptions underlying the Black-Scholes model.
11. Describe and apply in simple models, including the binomial model and the Black-Scholes model, the approach to pricing using deflators and demonstrate its equivalence to the risk-neutral 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 Black-Scholes European option prices and describe their general characteristics.
15. Demonstrate an understanding of the concept of delta-hedging 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 term-structure of interest rates.
2. Describe, as a computational tool, the risk-neutral approach to the pricing of zerocoupon bonds and interest-rate derivatives for a general one-factor diffusion model for the risk-free rate of interest.
3. Describe, as a computational tool, the approach using state-price deflators to the pricing of zero-coupon bonds and interest-rate derivatives for a general one-factor diffusion model for the risk-free rate of interest.
4. Demonstrate an awareness of the Vasicek, Cox-Ingersoll-Ross and Hull-White models for the term-structure of interest rates.
5. Discuss the limitations of these one-factor 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!!!
Current Mood:
depressed depressed
* * *
* * *
[User Picture]
On September 1st, 2005 06:00 am (UTC), serioussam commented:
fucking hell, mate! Bad shit. The only thing as a friend I ca offer to say is... Beer?
[User Picture]
On September 1st, 2005 06:28 am (UTC), pun23 replied:
Ya. after 8th Sep. I have 2 exams on same day :(
* * *
[User Picture]
On September 1st, 2005 03:13 pm (UTC), anupma commented:
All the best for September 8.
[User Picture]
On September 2nd, 2005 03:32 am (UTC), pun23 replied:
Thanks :)
* * *
[User Picture]
On September 13th, 2005 12:56 am (UTC), sushubh commented:
BEER BEER BEER :D
[User Picture]
On September 14th, 2005 04:26 am (UTC), pun23 replied:
Did you tell her? What did she say?
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!
[User Picture]
On September 14th, 2005 11:31 am (UTC), pun23 replied:
Do whatever you want but don't be dispirited thinking about her from now on...
* * *
[User Picture]
On September 13th, 2005 05:50 pm (UTC), balaji_b commented:
So how did the other two go?
[User Picture]
On September 14th, 2005 04:43 am (UTC), pun23 replied:
First one went well. second one was very baddd...
* * *
[User Picture]
On September 14th, 2005 06:33 am (UTC), anand commented:
Beer?
[User Picture]
On September 14th, 2005 11:21 am (UTC), sushubh replied:
anytime anywhere.
[User Picture]
On September 14th, 2005 01:00 pm (UTC), pun23 replied:
Ya, beer we must!!
* * *
On December 4th, 2006 07:33 am (UTC), (Anonymous) commented:
Who listens to what music?
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:
Only Adult
Anal and Oral SeX
>>> http://s-url.net/0sfj <<<
* * *
On August 29th, 2007 12:49 pm (UTC), (Anonymous) commented:
Friends come? thanks
enter text? test, sorry

dfdf767df



* * *
On December 11th, 2007 04:13 pm (UTC), (Anonymous) commented:
new order cheap vimax pills supper disk
hay!!
good project :)
senks :)
* * *
On December 25th, 2007 05:11 am (UTC), (Anonymous) commented:
news video and pic free porn download anal rape
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:
tramadol medication side effects tramadol hcl
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:
iZxnWSHsaTOVncr
4qJXua
* * *
On June 5th, 2008 01:06 pm (UTC), (Anonymous) commented:
sgvrAfXZBQKCme
tickets_5.txt;2;2
* * *
On July 21st, 2008 03:40 am (UTC), (Anonymous) commented:
Free Chat Rooms
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:
nQQoDIshEpiCZLvdB
H3pxil hi! hice site!
* * *
On July 27th, 2008 09:11 pm (UTC), (Anonymous) commented:
kFrfblFlXgPSgoijio
wZdN4J hi! hice site!
* * *
On July 29th, 2008 01:36 am (UTC), (Anonymous) commented:
xufbXpLZJod
ztqlnc hi! hice site!
* * *
On July 29th, 2008 05:02 am (UTC), (Anonymous) commented:
hSlEHnHtwkjOsVi
WQbmM2 hi! hice site!
* * *
On July 29th, 2008 02:06 pm (UTC), (Anonymous) commented:
pkrfXKJMfvcdJZhm
fET8Td hi! hice site!
* * *
On April 8th, 2011 08:45 am (UTC), (Anonymous) commented:
NATO takes over command of military operations in Libya
[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 no-fly zone over Libya on March 17, along with ordering "all necessary measures" to protect civilians from Muammar Gaddafi's attacks on rebel-held towns.

The 28 NATO ambassadors met on Sunday to decide on further military plans in Libya.

The United States transfers command for a no-fly 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 no-fly 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
* * *

Previous Entry · Leave a comment · Share · Next Entry