Semester:
Fall of every year
Credits:
Total Credits: 3 Lecture/Recitation/Discussion Hours: 3
Prerequisite:
MTH 360 and STT 441 and FI 379
Description:
Evaluate and construct interest rate models. Rational valuation of derivative securities using put-call parity and calculation of European and American options. Risk management techniques using the method of delta-hedging.
Semester:
Fall of every year
Credits:
Total Credits: 3 Lecture/Recitation/Discussion Hours: 3
Prerequisite:
MTH 360 and STT 441 and FI 379
Recommended Background:
MTH 340 or MTH 347H
Description:
Evaluate and construct interest rate models. Rational valuation of derivative securities using put-call parity and calculation of European and American options. Risk management techniques using the method of delta-hedging.
Semester:
Fall of every year
Credits:
Total Credits: 3 Lecture/Recitation/Discussion Hours: 3
Prerequisite:
MTH 361 and STT 441
Recommended Background:
MTH 235 or MTH 340 or MTH 347H
Description:
Evaluate and construct interest rate models. Rational valuation of derivative securities using put-call parity and calculation of European and American options. Risk management techniques using the method of delta-hedging.
Semester:
Fall of every year
Credits:
Total Credits: 3 Lecture/Recitation/Discussion Hours: 3
Prerequisite:
MTH 361 and STT 441
Recommended Background:
MTH 235 or MTH 340 or MTH 347H
Description:
Utilize modern computational methods to price contracts in insurance and mathematical finance. Rational valuation of derivative securities using put-call parity and calculation of European and American options. Introduce hybrid contracts and features, such as equity-indexed annuities.