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×Dekalb, Illinois
Crosslisted as ECON 584X. Review of financial derivatives including futures, European and American options, Exotic options. Greeks, trading and hedging strategies. Pricing derivative security with appropriate boundary conditions, including Black-Scholes formula, binomial trees, lattice models and finite difference methods. Simulation and variance reduction techniques. Interest rate models. Covers all the learning outcomes regarding financial models of the exam MFE of the Society of Actuaries (SOA), which is also the Exam 3F of the Casualty Actuarial Society (CAS)
Units: 3.0