Baruch MFE - Financial Engineering Program

MTH 9883 DEAL THEORY & STRUCTURING

1.5 Hours; 1.5 Credits

This course provides hands-on experience with the valuation of structured securities using covariance matrix analysis and Monte Carlo techniques to analyze the probability of credit losses. A sample deal is synthesized by building a cash flow engine using Markov chains and the Banach fixed point theorem to estimate ill-posedness.

Mth 9848

2016-06-08T22:16:57+00:00