Fall 2024 Mathematics GR5420 section 001

MODEL & TRADE DERIVATIVES

Call Number 11892
Day & Time
Location
S 10:10am-12:00pm
312 Mathematics Building
Points 3
Grading Mode Standard
Approvals Required None
Instructor Amal Moussa
Type SEMINAR
Method of Instruction In-Person
Course Description

Required Prerequisite: Math GR5010 Intro to the Math of Finance (or equivalent). Recommended Prerequisite: Stat GR5264 Stochastic Processes – Applications I (or equivalent).

The objective of this course is to introduce students, from a practitioner’s perspective with formal derivations, to the advanced modeling, pricing and risk management techniques of vanilla and exotic options that are traded on derivatives desks, which goes beyond the classical option pricing courses focusing solely on the theory. It also presents the opportunity to design, implement and backtest vol trading strategies. The course is divided in four parts: Advanced Volatility Modeling; Vanilla and Exotic Options: Structuring, Pricing and Hedging; FX/Rates Components: Discounting, Forward Projection, Quanto and Compo Options; Designing and Backtesting Vol Trading Strategies in Python.

Web Site Vergil
Department Mathematics
Enrollment 96 students (110 max) as of 12:05PM Sunday, December 8, 2024
Subject Mathematics
Number GR5420
Section 001
Division Graduate School of Arts and Sciences
Note Priority to MAFN Students. Open to Stats 9/9 and Univ. 9/11
Section key 20243MATH5420G001