ADVANCED DERIVATIVE SECURITIES

Name: ADVANCED DERIVATIVE SECURITIES
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Rating: 4.2 (136 reviews)

FINANCE 830

과목 설명

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.

선수과목

Declared in Financial Economics MS

충족 요건

This course does not satisfy any prerequisites.

학점

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미보고

평점

3.51

5.54% 과거 데이터 대비

수료율

100%

1.49% 과거 데이터 대비

A 비율

39.53%

9.73% 과거 데이터 대비

학급 규모

152.94% 과거 데이터 대비

Cumulative Grade Distribution

강사 (2026 Summr)

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유사 과목

DERIVATIVE SECURITIES - THEORY AND PRACTICE

FINANCE 730

Covers the pricing and uses of the most common derivative contracts including options, forward contracts, futures contracts, and exchange-traded funds (ETFs). Also emphasizes a practical understanding of trading and management of portfolios of these contracts, and makes use of an online trading platform. Mathematical and statistical analyses are used throughout.

DERIVATIVE SECURITIES

FINANCE 330

Pricing and uses of the most common derivatives including options, forward contracts, futures contracts, and swaps.

AN INTRODUCTION TO BROWNIAN MOTION AND STOCHASTIC CALCULUS

MATH 635

Presents an introduction to Brownian motion and its application to stochastic calculus. Sample path properties of Brownian motion, Ito stochastic integrals, Ito's formula, stochastic differential equations and properties of their solutions, and various applications will be included.

ANALYSIS OF FIXED INCOME SECURITIES

FINANCE 740

Detailed coverage of fixed income securities and their derivatives; asset backed/mortgage backed securities; pricing and portfolio strategies; term structures models and other analytical tools.

STOCHASTIC ANALYSIS

MATH 735

Foundations of continuous time stochastic processes, semimartingales and the semimartingale integral, Ito's formula, stochastic differential equations, stochastic equations for Markov processes, application in finance, filtering, and control. The course relies on measure theoretic probability theory that can be reviewed at the beginning of the semester.