FINE 449 Market Risk Models (3 unités)

Offered by: Gestion (Gestion)

Vue d'ensemble

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: Automne 2019

Instructors: Jan Edvard Ericsson (Fall)