FN 907D/908D Derivatives Securities

The material in this course covers a comprehensive and in-depth treatment of valuation methods for derivative securities. Extensive use is made of continuous time stochastic processes, stochastic calculus, and martingale methods. The main topics to be addressed include A.) European option valuation, B.) exotic options, C.) multi-asset options, D.) swaps, E.) stochastic volatility, F.) American options, and G.) the role of derivatives in modern financial risk management.

Credits

3

Prerequisite

FN 902 Investment & Asset Pricing, FN 904 Quantitative Research Methods II (Financial Econometrics), and FN 912 Empirical Methods in Finance