Ï㽶ÊÓƵ

FINE 449 Market Risk Models (3 credits)

important

Note: This is the 2019–2020 eCalendar. Update the year in your browser's URL bar for the most recent version of this page, or .

Offered by: Management (Desautels Faculty of Management)

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 2019

Instructors: Ericsson, Jan Edvard (Fall)

Back to top