FIN 4370
Advanced Derivative Securities
This course focuses on implementation of models for pricing and hedging derivative securities in the equity, currency, and fixed-income markets. Students will learn to write programs to implement the Black-Scholes model, binomial models, Monte-Carlo methods and finite-difference methods. The derivatives studied will include exotic equity and currency derivatives and caps, floors and swaptions. The goals of the course are to learn more about the various instruments that are traded, the various assumptions and methods that may be chosen in modeling them, and the importance of the assumptions in determining the prices and hedges that are chosen. The course will be especially useful to students pursuing careers in sales and trading who will interact with research departments and students pursuing careers in asset management.
Instructors
Reviews
On the verge of falling down a building, I type these words to warn. Do not take the class of Prof. Cai, for it shall cast you down one cliff after another with no rope to grasp nor light to follow. My family ruined, my lover gone astray due to the grade I have received.
5/12/2025
Unfairly hard exams, which do not test student actual knowledge about the course. Learning will not help because the questions are way harder than the examples discussed in the coursework.
3/14/2025
Dr Sovich is extremely smart and clear when teaching but the class was so hard. Everyone I know in it struggled on the exams but did well on the quizzes. The class covers a ton of content as well
4/23/2020
Lecture and homework can be overwhelming, tests are definitely hard: the final exam was a 3-hour open-note exam and the average was still low as 65. However, she did curve it in the end. She packed so much statistics modeling and formula derivation into the course that it looked like a stats course instead of a finance class. Hard but rewarding!
10/28/2019