Dec 21, 2024  
2006-2007 Graduate Catalog 
    
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2006-2007 Graduate Catalog [NOTE!!!! THIS IS AN ARCHIVED CATALOG. FOR THE CURRENT CATALOG, GO TO CATALOG.NIU.EDU]

ECON 642 - The Economics of Contingent Claims

Advanced analysis of markets for contingent claims, the derivative markets. Introduction to elements of stochastic calculus, dynamic portfolio choice, the Black-Scholes Model and extensions, the term structure of interest rates, American and European option pricing, and, if time permits, the Heath-Jarrow-Morton Model and exotic options. Advanced mathematical and computational techniques applied to the study of derivative markets.

Prerequisites & Notes
PRQ: ECON 560, ECON 590, and FINA 455, or consent of department.

Credits: 3