Courses / Statistics / 3 units / STATS 237: Theory of Investment Portfolios and Derivative Securities
 

Theory of Investment Portfolios and Derivative Securities

STATS 237
3 units
June 26 - August 19, 2017

Asset returns and their volatilities. Markowitz’s portfolio theory, capital asset pricing model, multifactor pricing models. Measures of market risk. Financial derivatives and hedging. Black-Scholes pricing of European options. Valuation of American options. Implied volatility and the Greeks.

Prerequisite

STATS 116 (or equivalent)

Notes

Syllabus

STATS 237 Syllabus 2013