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- econ-642 - financial-engineering
Northern Illinois University Course Info
Dekalb, Illinois
Course Info
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ECON 642
Financial Engineering
Advanced analysis of markets for contingent claims, the derivative markets. Introduction to elements of stochastic calculus, dynamic portfolio choice, the Black-Scholes Model and extensions, the term structure of interest rates, American and European option pricing, and, if time permits, the Heath-Jarrow-Morton Model and exotic options. Advanced mathematical and computational techniques applied to the study of derivative markets
Units: 3.0
Prerequisites:
FINA 555 - Analysis of Derivative Securities
and
ECON 690 - Econometrics I
and
ECON 660 - Microeconomic Analysis I