FIN 452 - Advanced Derivative Securities

Institution:

Washington University in St Louis

Subject:

Description:

Focuses on implementation of models for pricing and hedging derivative securities in the equity, currency, and fixed-income markets. Students learn to write programs in a programming environment such as MATLAB to implement the Black-Scholes model, binomial models, Monte-Carlo methods and finite-difference methods. The derivatives studied include exotic equity and currency derivatives and caps, floors, and swaptions. The goals of the course are to learn more about the various instruments that are traded, the various assumptions and methods that may be chosen in modeling them, and the importance of the assumptions in determining the prices and hedges that are chosen. The course is especially useful to students pursuing careers in sales and trading who interact with research departments and students pursuing careers in asset management. Prerequisites: Fin 451 and permission of instructor. Same as B62 537

Credits:

3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.wustl.edu

Phone Number:

(314) 935-5000

Regional Accreditation:

North Central Association of Colleges and Schools

Calendar System:

Semester

The Course Profile information is provided and updated by third parties including the respective institutions. While the institutions are able to update their information at any time, the information is not independently validated, and no party associated with this website can accept responsibility for its accuracy.