FRE-GY 6311 Dynamic Assets and Options Pricing

1.5 Credits

The course focuses on inter-temporal assets pricing in discrete and continuous time. The course explores problems in complete and incomplete markets of both theoretical and practical interest that require an appreciation of financial economic theories and computational techniques. Financial-engineering techniques are introduced including Martingales, stochastic calculus and jump processes; these are applied to engineering problems in finance. Problems and cases are presented that span Stocks and Derivatives (options of various sorts), Bonds and Implied Risk-Neutral Pricing.

Prerequisite(s): FRE-GY 6083 and FRE-GY 6123 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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