Advanced Derivative Models
Course Number: 46915
Concentration: Mathematics
Semester(s): Mini 5
Required/Elective: Elective
Prerequisite(s): 46945
Building on the theory developed in Math 46945: Stochastic Calculus II, this course treats advanced models and methods for derivative pricing. Topics covered include local and stochastic volatility models, exotic options and volatility derivatives. Emphasis is placed on interpretation, computational techniques, model calibration, and numerical solutions.