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. Students with credit for ACMA 340 or RISK 441 may not take this course for further credit.
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. Students with credit for ACMA 340 or RISK 441 may not take this course for further credit.
