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 |