STAT 5320 - Mathematical Modeling in Finance

Credits: 3 Class: 3 Lab: 0
Crosslisted: MATH 5320
Prerequisite(s): A grade of C or better in Math 3317 and Math 3318 and graduate standing; or department approval.
This course is devoted to probabilistic and statistical models and techniques applied to insurance and financial risk analysis and management. The list of course topics includes mean-variance portfolio theory, asset pricing models, variance, semi-variance, Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR), sensitivity analysis, derivatives and derivative strategies, general properties of options, binomial and Black-Scholes option pricing models. A solid background in probability theory, statistics, and calculus is required, and some knowledge of basic corporate finance and interest theory, is expected/recommended.