This course aims to provide an overview of the main concepts underlying the analysis of financial risk and to show how these concepts can be implemented in practice. The topics that are covered include the Black- Scholes-Merton model and the Greeks, Numerical Procedures with Monte Carlo simulations, Estimating Volatilities and Correlations, Volatility Smiles, Value at Risk and Credit Risk. Computer models are used throughout the course.
Credit(s): 3
Prerequisite: MAT 3788
