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ADVANCED DERIVATIVE SECURITIES

FINANCE 830
Course Description

Introduces continuous-time financial models essential for the advanced analysis of derivative securities. Discuss the fundamental mathematical concepts and tools from continuous-time stochastic processes including Brownian motion, Poisson processes, stochastic calculus, and change of measure. This provides a framework for analyzing derivative securities including their pricing, hedging, and risk management. In particular, covers the Black-Scholes and stochastic volatility models for equity options; basic term-structure modeling for interest rate derivatives; and reduced-form credit-risk models. Emphasis is put on applications and economic interpretation rather than mathematical rigor.

Prerequisites

Declared in Financial Economics MS

Satisfies

This course does not satisfy any prerequisites.

Credits

Not Reported

Offered

Not Reported

Grade Point Average
3.51

5.54% from Historical

Completion Rate
100%

1.49% from Historical

A Rate
39.53%

9.73% from Historical

Class Size
43

152.94% from Historical

Cumulative Grade Distribution

Instructors (2026 Summr)

Sorted by ratings from Rate My Professors

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