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FINE 449 Market Risk Models (3 credits)

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Offered by: Management (Desautels Faculty of Management)

Overview

Finance : Dynamic market risk models including GARCH volatility models, dynamic conditional correlation models, non-normal return distributions, option pricing allowing for skewness and kurtosis, and option risk management using delta, delta-gamma and full-valuation.

Terms: Fall 2019

Instructors: Ericsson, Jan Edvard (Fall)

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