Mar 31, 2025  
2024-2025 University Catalog 
    
Catalog Navigation
  Catalog Home
  Purdue University In Indianapolis
  Programs Lists
  Degree in 3
  Academic Regulations & Student Conduct
  Undergraduate Admissions
  Undergraduate Outcomes-based Core Curriculum
  Civics Literacy
  Academic Colleges
  College of Agriculture
  Daniels School of Business
  College of Education
  College of Engineering
  Exploratory Studies (Undergraduate)
  College of Health and Human Sciences
  Honors College
  College of Liberal Arts
  Libraries and School of Information Studies
  College of Pharmacy
  Polytechnic Institute
  College of Science
  College of Veterinary Medicine
  Joint and Special Programs (Graduate & Undergraduate)
  Articulation Agreements and TSAP
HELP
2024-2025 University Catalog
Facebook this Page (opens a new window)
Tweet this Page (opens a new window)

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


Facebook this Page (opens a new window)
Tweet this Page (opens a new window)