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New York University Polytechnic School of Engineering    
  Feb 23, 2018
2013-2014 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]

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FRE-GY 6303 Dynamic Assets and Option Pricing

This course provides the foundations of option pricing models. The problems are either solved analytically by the martingale and Partial Differential equation approaches,  or numerically, by applying approximation and simulation methods.  The applications to both European and American options, exotic options, and bonds  will be presented. Since the same techniques allow the treatment of more complex financial products, application to fixed income derivatives such as interest rate caps will also be presented. This course is a requirement in the Computational Finance Track and is a track elective in the Risk Finance Track.

Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of Department & FRE-GY 6083  .

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