BUSN 3375 Financial Instruments and Their Pricing
(Prior to Fall 2010, this course was known as BUS 70.9.
The information below might still reflect the old course numbers. Bracketed numbers, if any, are the old course numbers. Learn more...)
4 hours; 4 credits
Definitions 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].)
Prerequisite: Mathematics 3601 [74.2] or Business 3370 [70.7] or Economics 3370 [70.7]