ECON 540 - Financial Derivatives

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 Black-Scholes formula, binomial trees, lattice models and finite difference methods. Simulation and variance reduction techniques. Interest rate models.

Prerequisites & Notes
PRQ: ECON 590 or STAT 601 or consent of department.

Credits: 3