Stochastic models of security prices. Introduction to derivatives, the Greeks and the binomial model. The Black-Scholes option pricing formula. The MRT and 5-step method. Arbitrage-free pricing and the 5-step method with the Black-Scholes model. Interest rate models. Property Derivatives. Currency options extended to Barrier Options using Monte Carlo valuation processes. -- Course Website
Prerequisites: 310529 (v.1)<br/> Actuarial Economics 301<br/> <br/> or any previous version<br/> <br/> <br/><br/> <br/> OR<br/><br/> <br/> 311628 (v.2)<br/> Investment Science 301<br/> <br/> or any previous version
