(Cross-listed with MATH 336) This course in Quantitative Risk Analysis provides students with a comprehensive interdisciplinary foundation in quantitative techniques for financial risk assessment and management. The curriculum encompasses the principles of fixed-income securities, Modern Portfolio Theory (MPT) and advanced topics like the Black-Scholes formula and the Binomial Tree method for derivatives pricing. The course emphasizes practical skills in identifying, calculating, and mitigating risks associated with fixed-income securities, equities, options, and futures. Students will work on projects that simulate real-world scenarios, gaining experience in managing the interest rate risk of fixed-income securities by controlling durations, applying MPT to create efficient portfolios, using stock index futures to manage market exposure, and leveraging stock options to hedge individual stock risks. Prerequisite: MATH 136 or MATH 151 or ECON 375, ECON 100, and either MATH 141 or ECON 350.
| Distribution Area | Prerequisites | Credits |
|---|---|---|
| Math 136 or MATH 151 or ECON 375, Econ 100, and either MATH 141 or ECON 350 | 1 course |