Mathematical models of Forwards and Futures, Options and Related Strategies. Arbitrage opportunities. Mathematical pricing of derivative securities and exotic options (Asian, barrier, compound, gap, and exchange). Discrete time models. Lognormal distribution and continuous time pricing models. Option Greeks, Risk Management (with delta-hedging method). Actuarial applications of derivatives. Other SOA IFM exam topics. Spreadsheet programming software.

Pre-requisites: AS201 And STAT214