RM 713 - Advanced Derivatives

Overview

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

Credits

Minimum Units

3

Maximum Units

3

Academic Progress Units

3

Repeat For Credit

No

Components

Name

Lecture

Hours

3

Requisites

024563

Course Schedule