Option pricing models and their application to insurance and financial risks. Discrete-time models. Black-Scholes-Merton model. Market-making, option Greeks, and hedging. Exotic options. Economic scenario generators. Prerequisite: BUS 315 and one of RISK (or ACMA) 231 or BUS 232, both with a minimum grade of C. Students with credit for ACMA 340 or RISK 801 may not take this course for further credit. Quantitative.
Option pricing models and their application to insurance and financial risks. Discrete-time models. Black-Scholes-Merton model. Market-making, option Greeks, and hedging. Exotic options. Economic scenario generators. Prerequisite: BUS 315 and one of RISK (or ACMA) 231 or BUS 232, both with a minimum grade of C. Students with credit for ACMA 340 or RISK 801 may not take this course for further credit. Quantitative.
