Week 1: Financial Markets; Valuation

1.A.1: Bodie, Kane, and Marcus, ch 2

1.A.2: Bodie, Kane, and Marcus, ch 3, 4 (background)

1.A.3: Hull, ch 1: Derivative Instruments (background)

1.A.4: Bodie, Kane, and Marcus, ch 5

1.B.1: AAA Statement of Principles on Valuation

1.B.2: ASB Standard of Practice No. 19: Actuarial Appraisals

1.B.3: Miccolis on Valuation Assumptions and Methods

Week 2: Asset Risks; Introduction to DFA Models

2.A.1: Fabozzi, ch 2: Fixed Asset Risks

2.A.2: Elton and Gruber, chs 4, 5, 6: Mean Variance Portfolio Theory

2.A.3: Bodie, Kane, and Marcus, Appendix 6A

2.B.1: VFAC Committee: Dynamic Financial Models

2.B.2: D’Arcy et al on Building the Public Access Model

2.B.3: D’Arcy et al on Using the Public Access Model

Week 3: Portfolio Theory; Parameterizing and Applying DFA Models

3.A.1: Elton and Gruber, chs 7, 8, 9: Portfolio Selection Process

3.A.2: Bodie, Kane, and Marcus, Appendix 8B

3.A.3: Bodie, Kane, and Marcus, Appendix 8C

3.B.1: Kirschner and Scheel on Corporate Financial Models

3.B.2: Correnti et al on DFA Models and Strategic Business Decisions

Week 4: CAPM; Catastrophe DFA Models

4.A.1: Elton and Gruber, chs 13, 14: Capital Asset Pricing Model

4.A.2: Elton and Gruber, ch 16: Arbitrage Pricing Theory

4.A.3: Bodie, Kane, and Marcus, ch 13

4.A.4: Bodie, Kane, and Marcus, ch 18

4.B.1: Lowe and Stanard on DFA Modeling for Catastrophe Reinsurer

Week 5: Interest Rates and Insurance Portfolios

5.A.1: Fabbozi, ch 4: Bond Pricing

5.A.2: Elton and Gruber, ch 20: Interest Rate Theory

5.A.3: Fabozzi, ch 5: Measuring Interest Rate Risks

5.A.4: Hull, ch 4: Interest Rates and Duration (sections 4.14, 4.15)

5.A.5: Fabozzi, ch 8: Treasury Bonds

5.B.1: Fabozzi, ch 45: Dedicated Bond Portfolios

Week 6: Fixed Income Securities; Asset Liability Management

6.A.1: Fabozzi, ch 9: Municipal Bonds

6.A.2: Fabozzi, ch 10: Money Market Instruments

6.A.3: Fabozzi, ch 11: Corporate Bonds

6.A.4: Fabozzi, ch 24: Mortgages and Mortgage Backed Securities

6.B.1: Fabozzi, ch 44: Bond Immunization

6.B.2: Feldblum on Asset Liability Matching

6.B.3: Noris on ALM Strategies

Week 7: International Securities; Derivative Securities

7.A.1: Bodie, Kane, and Marcus, ch 25

7.A.2: Elton and Gruber, ch 12: International Diversification

7.A.3: Fabozzi, ch 16: International Bond Markets

7.A.4: Hull, chs 2, 3: Futures and Forward Contracts

7.A.5: Hull, ch 4, Interest Rates, sections 4.6, 4.11

7.A.6: Hull, ch 6: Options Markets

Week 8: Introduction to Options Pricing

8.A.1: Hull, ch 7: Stock Option Prices

8.A.2: Hull, ch 8: Trading Strategies

8.A.3: Hull, ch 9, section 9.1 and 9.2: One-Step Binomial Trees

8.B.1: Butsic on Expected Policyholder Deficit

8.B.2: Butsic on Capital Requirements

8.B.3: Butsic on Square Root Rule

8.B.4: Gorvertt on Insurance Securitization

Week 9: Option Pricing with Black-Scholes

9.A.1: Hull, rest of ch 9: Binomial Trees

9.A.2: Hull, ch 10: Behavior of Stock Prices

9.A.3: Hull, ch 11: Black-Scholes

Week 10: Bonds with Embedded Options; Portfolio Management

10.A.1: Review of Hull, ch 9 (Binomial Trees)

10.A.2: Fabozzi, ch 34: Valuation of Bonds with Embedded Options

10.A.3: Bodie, Kane, and Marcus, ch 16: High-Yield Bond Market

10.A.4: Altman on Corporate Bond Mortality

10.A.5: Bodie, Kane, and Marcus, ch 26: Portfolio Management

10.A.6: Review of Hull, chs 10, 11 (Stock Price Behavior; Black-Scholes)

10.A.7: Hull, chapter 14: Value at Risk