FIN 6489—ADVANCED RISK MANAGEMENT

Brice dupoyet

Week 1: Calculus Review

Week 2: Binomial Option Pricing I

            Problems: 10.1, 10.3, 10.6, 10.8 and 10.12                                                       (due Week 3)

Week 3: Binomial Option Pricing II        

            Problems: 11.12, 11.16 and 11.18                                                                       (due Week 4)

Week 4: Black Scholes  &    Market-Making and Delta-Hedging       

            Problems: 12.3, 12.6, 12.11, 13.1 and 13.7                                                      (due Week 5)

Week 5: Lognormal Model     &    Monte Carlo Simulations                

            Problems: 18.1, 18.2, 18.3, 18.7, 19.2, 19.6 and 19.7                                    (due Week 6)

Week 6: Risk Management using Index Derivatives

            Problem:       HW_Excel                                                                                        (due Week 7)

Week 7: Exotic Options I               &         VAR and Credit Risk                       

            Problems: No assignment this week, only study for the FINAL exam

Week 8:         FINAL EXAM