FINN 6212. Advanced Financial Derivatives. (3)

Prerequisite: FINN 6210 or permission of program.  The course covers 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.  (Spring)

Course Category: 
Concentration: 
COMPUTATIONAL FINANCE