Course catalog descriptions for courses offered in all currently published terms.

Finance

FIN 618	Advanced Derivatives and Risk Management Techniques
	2.25 hours	Elective	Terms Offered: W09(B), W10(B)
	Advisory Prerequisites: FIN 580

	Advanced Derivatives and Risk Management Techniques --- This is an advanced course in derivative securities and risk management building on what students have learned in FIN 580. The course covers pricing of advanced derivatives such as options on futures, stock indices, currency options, interest rate options, interest rate swaps, swaptions, energy and weather derivatives, and credit default swaps. It also covers exotic options such as forward start, compound, chooser, shout, lookback, barrier, binary, and options to exchange assets and options involving multiple assets. New risk management techniques covered include basic numerical methods, (Monte Carlo, finite differing) and hedging parameter uncertainty (greeks), and volatility estimation techniques (GARCH and stochastic volatility models).