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New York University Polytechnic School of Engineering    
  Jan 17, 2018
2013-2014 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]

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FRE-GY 6021 Financial Insurance and Credit Derivatives

1.5 Credits
Financial insurance and Derivatives have moved to the center of modern corporate finance, investments and the management of financial institutions. Option pricing concepts are applied to price complex structured financial products and to price portfolios of equity-linked life insurance. This course also introduces modeling and the pricing of credit derivatives such as CDOs and the many other vehicles used to securitize portfolios of MBS, Loans, etc. Applications to Fixed Income problems, interest rates and bond derivatives, the management of portfolio risks and their like are considered.

Prerequisite(s): FRE-GY 6103  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0

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