Financial Instruments and Their Pricing
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Overview
Subject area
FINC.
Catalog Number
3375
Course Title
Financial Instruments and Their Pricing
Department(s)
Description
4 hours; 4 creditsDefinitions of some of the most important derivative securities traded in the financial markets: forward and futures contracts, caplets, caps, swaps, and options (Call, Put, Barrier, Bermudan, Asian, Digital, Exotic). The principles of arbitrage pricing and risk-neutral pricing, discrete-time binomial trees. The continuous time Black Scholes model and the Capital Asset Pricing model. The pricing of interest rates in an arbitrage-free framework and important interest rate models. Concentration on stochastic modelling and applications. (This course is the same as Economics 3375 and Mathematics 4601 [74.3]. Not open to students who have completed Business 3375.)Prerequisite: Mathematics 3601 [74.2] or Business 3370 [70.7] or Economics 3370 [70.7] or Finance 3370.
Typically Offered
Fall, Spring
Academic Career
Undergraduate
Liberal Arts
No
Credits
Minimum Units
4
Maximum Units
4
Academic Progress Units
4
Repeat For Credit
No
Components
Name
Lecture
Hours
4
Requisites
013488