ACSI 4630 - Mathematics of Risk Management

3 credit hours

Prerequisite: ACSI 4200/MATH 4200.Topics chosen from mathematical modeling of volatility; pricing of bonds and stocks; duration and convexity; 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.