FINANCIAL DERIVATIVES

ECON 674

A rigorous introduction to financial derivatives with applications. Topics include: binomial trees and geometric Brownian motion; European options, American options, forwards, and futures; put-call parity; the Black-Scholes-Merton pricing formula and its derivations; Delta and Gamma hedging; implied volatility; Merton jump-diffusion model; Heston model; GARCH(1,1) model. Instructor: Staff

Day / Time: 

WF 10:05 AM-11:20 AM

Location: 

Social Sciences 136

Instructor: 

Mela, Xavier

Section: 

01