Financial Mathematics III

Subject: 
Actuarial Science (ACTSC)
Catalog number: 
631
Unit weight: 
0.50
Meet type: 
LEC
Grading basis: 
NUM
Cross-listing(s): 
N/A
Requisites: 
Actuarial Science Masters StudentsDepartment Consent Required
Description: 
Binomial and lattice models for option pricing. Black-Scholes option pricing. Hedging option greeks. Exotic options. Term structure models including Vasicek, Cox-Ingersoll-Ross, Hull-White, Black-Derman-Toy. Interest rate options.
Topic titles: 
N/A
Faculty: 
Mathematics (MAT)
Academic level: 
GRD
Course ID: 
013399