ACSI 5630 - Mathematics of Risk Management

3 credit hours

Prerequisite: ACSI 2100 with grade of C (2.0) or better or consent of instructor. 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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