Advanced Derivatives

GSM MF 770

This course provides a comprehensive and in-depth treatment of valuation methods for derivative securities. Extensive use is made of continuous time stochastic processes, stochastic calculus and martingale methods. The main topics to be addressed include (i) European option valuation, (ii) Exotic options, (iii) Multiasset options, (iv) Stochastic interest rate, (v) Stochastic volatility, (vi) American options and (vii) Numerical methods. Additional topics may be covered depending on time constraints.

FALL 2015 Schedule

Section Instructor Location Schedule Notes
A1 Kitapbayev SMG 404 R 6:00 pm-9:00 pm Reserved for
Math Finance
Class Full

Note that this information may change at any time. Please visit the Student Link for the most up-to-date course information.