FINMOD 3520A
0.50 credit · Main
General properties of financial options, binomial pricing model, replication, risk-neutral valuation, and the fundamental theorem of asset pricing. The Black-Scholes option valuation methodology. Option Greeks and risk management. Value-at-risk (VaR) and Conditional VaR. Monte-Carlo simulation to conduct risk analysis.
A minimum mark of 60% in one of Business Administration 4413A/B, Financial Modelling 2557A/B; and a minimum mark of 60% in Statistical Sciences 2857A/B.
3 lecture hours.
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