2024-2025 Academic Catalog

Nov 18, 2024

2024-2025 Academic Catalog

FIN 5216 - Options, Futures, and Other Derivatives

Modern-day finance is rife with computationally intensive problems and solutions from pricing derivative instruments to complex portfolio building using optimization techniques. This course supplies students with the intuitions for the underlying mathematical concepts behind common financial applications. Furthermore, students learn the skills to develop their own solutions to variant of these applications with emphasis put on the generalizability of the results reviewed. Starting with binomial models as a stepping-stone, this course discusses the main tools applied to derivative valuation and their extension to continuous time pricing. It also considers common numerical methods utilized in financial engineering such as Monte Carlo simulation. The course ends with a review of common optimization tools and their application to portfolio building under constraints.

MSF students only.

Prerequisites: FIN 5401 or MPA 3003 (Pathway students only) and FIN 5309

Anticipated Terms Offered: Annually