Search Results

FIN 464: Risk Management Derivatives

(3-0) Cr. 3.

Prereq: FIN 424
Advanced models for options and bond pricing. Geometric Brownian motion, risk-neutral pricing, no-arbitrage pricing models, exotic options, pricing options through simulation, and applications of derivatives to hedging market and credit risk exposure. Risk management tools and how they are applied within financial institutions such as banks, insurance companies, mutual funds, and hedge funds, as well as the corporate enterprise. Topics include the Basel accords, volatility modelling, value-at-risk analysis, extreme value theory, credit default swaps, and portfolio simulation.