MFIM 642 Advanced Derivatives & Risk Management
The course emphasizes modern methods of risk management. Lectures cover risk measurement and estimation, management, control, and monitoring of risk positions. The impact of risk management tools such as derivative securities will be examined. Regulatory constraints and their impact on risk management will also be assessed. This course also provides 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.) stochastic interest rate, D.) stochastic volatility, E.) American options, and F.) some numerical methods such as Monte Carlo simulations. Additional topics may be covered depending on time constraints.
Prerequisite
MFIM 636 Quantitative Finance I,
MFIM 638 Financial Analysis & Firm Valuation, and
MFIM 640 Investment Management