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Apr 20, 2024
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2020-2021 Graduate Catalog ARCHIVED CATALOG: CONTENT MAY NOT BE CURRENT. USE THE DROP DOWN ABOVE TO ACCESS THE CURRENT CATALOG.
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FINQ 764 - Derivatives and Risk Management
Credits 3
Pricing of derivative securities and their applications in financial risk management. Derivatives markets, pricing of futures and forwards, binomial model for pricing options, introduction to stochastic calculus, Ito’s lemma, no-arbitrage pricing of options and Black-Scholes model, option greeks, pricing swaps, and managing market, credit and liquidity risk.
Grading
Letter grade
Prerequisites
Admission in MSQF program or approval by Director of MSQF program; FIN 708 and FIN 710 .
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