Modern financial decisions are made in short period of time, therefore efficient modeling is essential to excel in financial markets. This course learns about advanced derivative pricing models. Content are based on practical models and modeling techniques, and understanding their applicability and limitations, and then build an integrated model for application. Student will learn how to decide what stochastic factors should be incorporated in an appropriate pricing model for a derivative, how to price derivatives and define hedging strategies, and able to integrate the selected factors and formulate a consistent model.

CILO-1: be able to articulate basic operations of these markets CILO-2: understand pricing of basic derivative instruments, with major emphasis on options and futures CILO-3: be able to critically evaluate investment strategies and risk management involving the derivatives with pricing models CILO-4: be able to articulate concepts of risk management such as Value at Risk and the Greeks of derivatives CILO-5: understand how market risk and credit risk is quantified by banks and other financial institutions