| |
Dec 05, 2025
|
|
|
|
|
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.
Learning Outcomes
1. Use arbitrage-free option pricing in the binomial market model and the Black-Scholes model.
2. Adapt the binomial setting to computing exotic and path-dependent option prices, including the determination of optimal exercise.
3. Follow marking-to-market strategies for approximate discrete delta hedging.
Credits: 3.00
Add to Portfolio (opens a new window)
|
|
