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| ACSI 4630 - Mathematics of Risk Management |
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Prerequisite: ACSI 4200/MATH 4200.Topics chosen from mathematical modeling of volatility; pricing of bonds and stocks; duration and convexity; asset/liability management; forward contract, future contract, options; spreads, collars and other hedging strategies; option pricing models, Black-Scholes formula, Greeks, Delta hedge, Delta-Gamma hedge; hedge portfolio and hedge ratio.
3.000 Credit hours Levels: Undergraduate Schedule Types: Lecture Mathematical Sciences Department Course Attributes: College of Basic & Applied, Credit from 4-Year College, Upper-Division Work Prerequisites: for ACSI 4630 General Requirements: ( Course or Test: ACSI 4200 Minimum Grade of D- May not be taken concurrently. ) or ( Course or Test: MATH 4200 Minimum Grade of D- May not be taken concurrently. ) |
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