Investment and Financial Markets

Undergraduate

Interest rate models, valuation of derivative securities, arbitrage and put-call parity, option pricing using the binomial and Black-Scholes models cash flow characteristics of exotic options, diffusion processes, Itô's lemma, simulation, risk management techniques. The course is designed to prepare students for the IFM exam of the Society of Actuaries. Prerequisite(s): MATH 2633, MATH 3213, with minimum grades of C-.