May 21, 2022  
2021-22 Graduate Catalog 
    
2021-22 Graduate Catalog
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ACSI 5630 - Mathematics of Risk Management

3 credit hours
Prerequisite: ACSI/MATH 4200/ACSI 5200 /MATH 5200 . Topics chosen from mathematical modeling of volatility; pricing of bonds and stocks; duration and complexity; asset/liability management; forward contract, future contract, options; spreads, collars and other hedging strategies; option pricing models, Black-Scholes formula, Greeks, Delta hedge, Delta-Gamma hedge; hedge portfolio and hedge ratio.


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