46-915 Advanced Derivative Models

6 units, Carnegie Mellon University

Building on the theory developed in Math 46945: Stochastic Calculus II, this course treats advanced models and methods for derivative pricing. Topics covered include local and stochastic volatility models, exotic options and volatility derivatives. Emphasis is placed on interpretation, computational techniques, model calibration, and numerical solutions. Non-MSCF students may not take this course without written permission from the instructor. To be eligible, you must be a BSCF student, or a graduate student enrolled in an MSCF participating college/department (Stats & Data Science, Tepper, Computer Science Dept.,or Math Sciences). PhD students with relevant research may be eligible with permission from the instructor.

Prerequisites: 46-945

Offered: Fall 2026, Fall 2025

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