Advanced Derivatives Models - FEN 455
This course focuses of efficient implementation of advanced derivative models aimed at pricing and hedging derivative securities. Pseudo codes and algorithms will be studied and programming application developed using VB. Topics include: Black-scholes implementation, trees construction (binomial and trinomial trees), Monte Carlo application to option pricing and implied volatility, and advanced interest rate models, (Ho and Lee, Hulland White, Black-Derman, Toy, Heath- Jarrow-Morton). Prerequisite: BAF 450.