Apr 30, 2024  
2020-2021 Undergraduate Catalog 
    
Catalog Navigation
  Catalog Home
  What’s New?
  General Education Requirements
  Regulations, Policies, Rights, & Responsibilities
  Colleges, Schools, Division and Departments
  Program Descriptions
  Course Descriptions
  Overlapping Course Content
  TransferIN.net Indiana Core Transfer Library
  Indiana Transfer Single Articulation Pathway - TSAP
  Academic Calendar
  Previous Catalogs
HELP
2020-2021 Undergraduate Catalog [Archived Catalog]

STAT 47301 - Introduction To Arbitrage-Free Pricing Of Financial Derivatives

This course exposes students to a number of financial economics concepts related to arbitrage-free option pricing in the binomial market model and the Black-Scholes model. Specific models include: (1) Options and parity relationship between options (2) Option Pricing under the Binomial model (3) Option Pricing under the Black-Scholes model (4) Option hedging and the market maker ‘s overnight profit (5) Black Scholes theory with Brownian motion and Ito calculus (6) Risk-neutral option pricing and Monte Carlo valuation (7) Stochastic interest rates and Stochastic Volatility. This course provides the background for Course MFE of the Society of Actuaries and Course 3F of the Casualty Actuarial Society. 

Preparation for Course
P: MA 27300; STAT 51100 or ECON 27000

Cr. 3.