40.242 Derivative Pricing and Risk Management
Introduction to the theory and practice of mathematical finance: basics of derivative securities; interest rate and bonds; forward and futures contracts, hedging using futures contracts; option contracts and arbitrage relationship; binomial model, no-arbitrage pricing, risk-neutral pricing, and American options pricing; Brownian motion, Black-Scholes-Merton model, delta hedging, Greek letters,…
- Course code: 40.242
- Pillar: ESD
- Term: 7
- Credits: 12
- Department: Engineering Systems and Design
- Prerequisites: 40.240, 40.324
- Scheduled classes: 2
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