Course Schedule and Catalog

Department: Statistics

Grade Mode: Standard Letter

Course Type: Lecture

Credit Hours: 3

Prerequisite(s): STAT 305 STAT 310

Description: COMPUTATIONAL FINANCE I: MARKET MODELS ***** This course takes the classical efficient market models and superimposes upon it models for other stochastic phenomena not generally accounted for in efficient market theory. Shows how risk can be lessened by portfolios and other mechanisms. It discusses reasons why the Black-Scholes option pricing model is fragile to departures from efficient market theory. The course is oriented toward using computer simulations as an alternative to closed form solutions.