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FINE 449 Market Risk Models (3 unités)

Offered by: Gestion (Faculté de gestion Desautels)

Vue d'ensemble

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: Automne 2021

Instructors: di Pietro, Vadim (Fall)

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