STAT 47301 - Introduction To Arbitrage-Free Pricing Of Financial Derivatives

Credit Hours: 3.00. This course exposes students to a number of financial economics concepts related to arbitrage-free option pricing in the binomial market model and the Black-Scholes model. Specific models include (1) Options and parity relationship between options; (2) Option Pricing under the Binomial model; (3) Option Pricing under the Black-Scholes model; (4) Option hedging and the market maker’s overnight profit; (5) Black Scholes theory with Brownian motion and Ito calculus; (6) Risk-neutral option pricing and Monte Carlo valuation; (7) Stochastic interest rates and Stochastic Volatility. This course provides the background for Couse MFE of the Society of Actuaries and Course 3F of the Casualty Actuarial Society. Credits: 3.00

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STAT 47301 - Introduction To Arbitrage-Free Pricing Of Financial Derivatives