ACSI 5640 - Mathematics of Options, Futures, and Other Derivatives

3 credit hours

Prerequisites: ACSI/MATH 4630/ACSI 5630/5630 and 4200/ACSI 5200/MATH 5200. Topics chosen from lognormal model; Black-Scholes equation; volatility; risk neutral pricing; simulation; interest rate models; pricing of bonds, option on bonds, interest rate caps, and other interest rate derivatives.

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