Investment Portfolios, Derivative Securities, and Risk Measures


Stanford School of Humanities and Sciences

Investment Portfolios, Derivative Securities, and Risk Measures


Asset returns and their volatilities. Markowitz portfolio theory, capital asset pricing model, multifactor pricing models. Measures of market risk and statistical models and methods for their estimation and backtesting. Financial derivatives and hedging. Black-Scholes pricing of European options and implied volatilities.


Familiarity with theory of probability (Stanford Course STATS116) or equivalent.

A conferred Bachelor’s degree with an undergraduate GPA of 3.3 or better.


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