MAT 5256H - Risk Management

Institution:

Yeshiva University

Subject:

Mathematics (Undergrad Men)

Description:

Risk preferences; expected utility functionals and cash additive (coherent) risk measures; variational methods; convex duality methods; links to no-arbitrage theory, hedging and super hedging contingent claims. First semester: one period market models. Second semester: dynamic models and extensions to markets with transaction costs.

Credits:

3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.yu.edu

Phone Number:

(212) 960-5400

Regional Accreditation:

Middle States Association of Colleges and Schools

Calendar System:

Semester

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