Advanced Derivatives
Overview
Subject area
RM
Catalog Number
713
Course Title
Advanced Derivatives
Department(s)
Description
The course will investigate a variety of pricing models used across interest rate, equity and credit derivative markets, including particular finite difference methods, tree models, and Monte Carlo simulations. The course will also cover stochastic volatility models, local volatility surface, pricing of volatility swaps, Asian options and barrier options, Gaussian and other copulas, and interest rate derivative models including the Libor Market Model, and the Hull and White model.
Typically Offered
Fall, Spring
Academic Career
Graduate
Liberal Arts
Yes
Credits
Minimum Units
3
Maximum Units
3
Academic Progress Units
3
Repeat For Credit
No
Components
Name
Lecture
Hours
3
Requisites
024563