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New York University Polytechnic School of Engineering    
  Jan 16, 2018
2013-2014 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]

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FRE-GY 6511 Derivatives Algorithms

1.5 Credits
This course focuses on the algorithms behind derivatives valuation and applications. The focus is on the principles and practice of financial engineering and risk management and on developing intuition: understanding the reasons for the existence of the product, simulating possible paths and possible parameter values as an exploratory process, approximating complex derivatives as a combination of simpler ones, and attempting to replicate the payout. The goal is to prepare students to be able to evaluate an arbitrary derivative given only its term sheet. to that end, the course requires a project almost every week. Projects can be done in any programming language (Excel, Mathematica, R, Python, etc.), but the final result must be stand-alone tables and graphs. The primary prerequisite is familiarity with standard option pricing and Greeks. A portion of the final exam may involve a live computation project.

Prerequisite(s): 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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