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May 10, 2024
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FINN 6212 - Advanced Financial Derivatives
Multi-factor derivative pricing models. Topics include: the discrete-time and discrete-state models, Ito processes, relevant topics on stochastic calculus, Risk Neutral Valuation, and review of the Black-Scholes model. Additional topics include: commodity pricing models, stochastic volatility models, multi-period discrete-time (GARCH) models, and the interest rate models such as the Vasicek and CIR models.
Credit Hours: (3)
Prerequisite(s): FINN 6210 or permission of department.
Schedule of Classes
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