Academic Calendar - 2021

Western University Academic Calendar. - 2021
Western Main Campus

Financial Modelling 3520A/B


General properties of financial options, binomial pricing model, replication, risk-neutral valuation, and the fundamental theorem of asset pricing. The Black-Scholes option valuation methodology. Option Greeks and risk management. Value-at-risk (VaR) and Conditional VaR. Monte-Carlo simulation to conduct risk analysis.

Prerequisite(s): A minimum mark of 60% in one of Business Administration 4413A/B, Financial Modelling 2557A/B; and a minimum mark of 60% in Statistical Sciences 2857A/B.

Extra Information: 3 lecture hours.

Course Weight: 0.50
Breadth: CATEGORY C i  
Subject Code: FINMOD

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