- Risk Management and Financial Engineering (c)
This course covers more advanced material than RSM 2306. It is intended for students who have a quantitative background. RSM 2307 is a core course for the Risk Management and Financial Engineering major.
12 regular sessions
The objective is to enhance student’s knowledge of the way in which derivatives can be priced, analyzed and hedged.
The course starts with Black-Scholes analysis. This leads to a variety of approaches commonly used to value and hedge derivatives. This technology is then applied to a variety of exotic contracts. The second half of the course focuses on the types of models used in the swap markets.
Evaluation and Grade Distribution
“Options, Futures, and Other Derivatives” by John Hull, seventh edition, and Solutions Manual for this book