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New York University Polytechnic School of Engineering    
  Jan 19, 2018
2013-2014 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]

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FRE-GY 6311 Dynamic Assets and Option Pricing

1.5 Credits
The course focuses on inter-temporal assets pricing, both in discrete and continuous time. The course distinguishes between problems in complete and incomplete markets of both theoretical and practical interest, all of which requires an appreciation of financial economic theories and computational techniques. Problems and cases are presented that span Fixed Income (Bonds), Stocks and Derivatives (Options of various sorts), and Implied Risk Neutral Pricing. Reference text: Applied Stochastic Models and Control for Finance and Insurance by C.S. Tapiero (Kluwer, 1998).

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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