Overview
Finance : Dynamic market risk models including GARCH volatility models, dynamic conditional correlation models, non-normal return distributions, option pricing allowing for skewness and kurtosis, and option risk management using delta, delta-gamma and full-valuation.
Terms: Fall 2009
Instructors: Vasquez, Aurelio; Christoffersen, Peter Frederik (Fall)
- Prerequisites: FINE 441 and MGSC 272 or equivalent.