This course focuses on modern developments in the modeling and pricing of financial derivative securities. Both theoretical and practical estimation issues will be addressed, with the aim of providing students with the necessary background to pursue further academic or practitioner-oriented research in this area. Topics include the pricing of derivatives on equity, foreign exchange, volatility, interest rates, credit risk, and mortgages. A variety of modeling approaches are considered including closed form models, Monte Carlo simulation, and models that admit jumps, stochastic volatility, and non-normal distributions.
There are no sections matching your search criteria. Please search again with different criteria or contact the Kellogg School registrar for more information.