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Nov 27, 2024
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2022-2023 Undergraduate and Graduate Bulletin (without addenda) [ARCHIVED CATALOG]
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FRE-GY 6123 Financial Risk Management3 Credits
This course introduces the techniques and problems of Financial Risk Management and Asset Pricing. It emphasizes risk finance and attitudes; Value at Risk; risk measurement principles; valuation and expected utility and their relevance in the valuation and the pricing of financial investments; insurance; management of derivatives; and risk management. Throughout, risk-management application problems are explored. The course introduces and focuses on the fundamental principles of the Arrow-Debreu state preference theory used to price derivatives and other assets in complete markets. Risk neutral-Binomial models in option pricing; essential elements of Ito calculus; and the Black-Scholes model for pricing options are introduced and applied to practical financial decision making and risk management problems.
Prerequisite(s): Graduate Standing
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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