Table of contents :
The actuary and its environment --
Financial markets and their securities --
Forwards and futures --
Swaps --
Options --
Engineering basic options --
Engineering advanced derivatives --
Equity-linked insurance and annuities --
One-period binomial tree model --
Two-period binomial tree model --
Multi-period binomial tree model --
Further topics in the binomial tree model --
Market incompleteness and one-period trinomial tree models --
Brownian motion --
Introduction to stochastic calculus --
Introduction to the black-scholes-merton model --
Rigorous derivations of the black-scholes formula --
Applications and extensions of the black-scholes formula --
Simulation methods --
Hedging strategies in practice.