Course Description
The rapidly expanding level of transactions in
futures, options and other derivatives has
provided professional opportunities for those
with an understanding of the underlying
statistical models. This is a course which
attempts to explicate and, when appropriate,
challenge the models in current vogue. The two
texts used will be John C. Hull's "Options,
Futures, and Other Derivatives" (primary text)
and "Financial Calculus" by Baxter and Rennie.
Computer simulation will be utilized as a means
of answering "what if?" sorts of questions. The
prerequisites for this course are a good
practical background in statistics and its uses
and an ability to write model based computer
programs (using whatever computer language the
student finds appropriate).
