Alum Brings Industry Knowledge to MFin Students

On Monday, March 27, Princeton BCF Master in Finance alum Siddhant Gupta returned to campus to deliver a guest lecture to the Asset Pricing (ORF515/FIN503) class taught by Ludovic Tangpi. This course covers the pricing and hedging of advanced derivatives, including topics such as exotic options, greeks, interest rate and credit derivatives, as well as risk management.

Gupta–an Exotic Options Trader at an NYC-based bank–gave a 40-minute lecture on “Pricing Models for Exotic Derivatives.” The topics he covered included:

• Types of exotic structures he trades and the models and methods his team uses to price them
• Examples demonstrating the effect of stochastic volatility on a local volatility model price
• Pricing of a structure that can be split into two different products priceable separately

Following the lecture, students participated in an informal discussion and Q&A with Gupta.