Advanced Derivative Models

Course Number: 46915

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. Non-MSCF students may not take this course without written permission from the instructor. To be eligible, you must be a BSCF student or a graduate student enrolled in an MSCF participating college (Dietrich, Heinz, Tepper or Mellon). PhD students with relevant research may be eligible with permission from the instructor.

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