2021-22 Spring - MAFS5330 - Structured Products: Analysis and Pricing

Course

Description

Structured solutions including payoff design / packaging / distribution / pricing / hedging / funding; The popular structures in practice across the asset classes (Equity, Funds, FX, Interest Rate, Credit and Commodities); The customized index business based on factors, portfolio theory and other trading models with up-to-date industry practices; Computational methods for derivatives and structured products, including lattice tree methods, finite difference approach for PDE, multi-dimensional and American Monte Carlo simulation.
Course period1/02/2230/06/22
Course levelPG
Course formatLecture