Graduate Studies and Postdoctoral Affairs (GSPA)
Needles Hall, second floor, room 2201
Subject:
Actuarial Science (ACTSC)
Catalog number:
631
Unit weight:
0.50
Meet type:
LEC,TUT
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