The topics covered are: market-consistent valuation, pricing and hedging using derivatives, stochastic calculus and interest rate models and options, pricing of unhedgeable risks, and simulation techniques.
Course 3: Valuation and hedging
This course aims to teach students advanced techniques of quantitative finance and apply them to insurance contracts. The underlying principle is that the market-consistent value of an insurance contract is based on the market value of a replicating portfolio plus an 'add-on' for the remaining non-hedgeable risk.
