FNEN 6820 3.00

Course Number:FNEN 6820 3.00
Department:Financial Engineering
Title:Advanced Derivative Securities
Course Status:
This course covers a list of advanced topics in derivative securities with a focus on pricing and hedging. Students are assumed to have taken an introductory course in derivatives. The objective of this course is to develop modeling skills needed to value the full range of derivative securities: from exchange-traded options to over-the-counter products including exotic options, embedded options and credit derivatives. The fundamental theory is the Equivalent Martingale Pricing Principle or the Risk-neutral valuation by no-arbitrage. Analytical models and various numerical methods will be discussed in detail. It is assumed that students are familiar with the Black-Scholes and binomial pricing models.

Prerequisites: FNEN 6810 3.00 or FINE 6800 3.00