Advanced Derivatives Pricing and Risk Management

Module code: MTH787P

Credits: 15.0
Semester: SEM2

Contact: Dr Dudley Stark

This module covers a number of advanced topics in the pricing and risk-management of various types of derivative securities that are of key importance in today's financial markets. In particular, the module covers models for interest rate derivatives (short-rate and forward-curve models), and looks at the multi-curve framework. It then considers credit risk management and credit derivatives (both vanilla and exotic). Finally, it also discusses credit valuation adjustment (CVA) and related concepts.

Connected course(s): UDF DATA
Assessment: 100.0% Examination
Level: 7