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QSTMF 770 - Advanced Derivatives

Description
Grad Prereq: QST MF795 This course provides a comprehensive and in-depth treatment of valuation methods for derivative securities. Extensive use is made of continuous time stochastic processes, stochastic calculus and martingale methods. The main topics to be addressed include (i) European option valuation, (ii) Exotic options, (iii) Multiasset options, (iv) Stochastic interest rate, (v) Stochastic volatility, (vi) American options and (vii) Numerical methods. Additional topics may be covered depending on time constraints. (Mathematical Finance courses are reserved for students enrolled in the Mathematical Finance program.)
Credits
3
Recent Professors
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Recent Semesters
Fall 2021, Fall 2020, Fall 2019
Offered
Th, W, Tu
Avg. Sections
2