Carnegie Mellon University

Advanced Derivative Models

Course Number: 46915

Concentration: Mathematics
Semester(s): Mini 5
Required/Elective: Elective
Prerequisite(s): 46945

Building on the theory developed in Math 46945: Stochastic Calculus II, this course treats advanced models and methods for derivative pricing. Topics covered include local and stochastic volatility models, exotic options and volatility derivatives. Emphasis is placed on interpretation, computational techniques, model calibration, and numerical solutions.