Jul 31, 2021  
2020-2021 Undergraduate Catalog 
    
2020-2021 Undergraduate Catalog [NOTE!!!! THIS IS AN ARCHIVED CATALOG. FOR THE CURRENT CATALOG, GO TO CATALOG.NIU.EDU]

ACSC 460 - Financial Derivatives


Crosslisted as ECON 484X. Review of financial derivatives including futures, European and American options and exotic options. Greeks, trading and hedging strategies. Pricing derivative securities with appropriate boundary conditions, including the Black-Scholes formula, binomial trees, lattice models and finite difference methods. Simulation and variance reduction techniques. Interest rate models. Covers the learning outcomes regarding financial models in the exam MFE of the Society of Actuaries (SOA), which is also the Exam 3F of the Casualty Actuarial Society (CAS).

Prerequisites & Notes
PRQ: ACSC 405.

Credits: 3