Course Description
The course covers (i) structure and operation of derivative markets, (ii) valuation of derivatives, (iii) hedging of derivatives, and (iv) applications of derivatives in areas of risk management and financial engineering. Models and pricing techniques include Black-Scholes model, binomial trees, Monte-Carlo simulation. Specific topics include simple no-arbitrage pricing relations for futures/forward contracts; put-call parity relationship; delta, gamma, and vega hedging; implied volatility and statistical properties; dynamic hedging strategies; interest-rate risk, pricing of fixed-income product; credit risk, pricing of defaultable securities.
Fall 2024
Instructors
Meeting Patterns
Classes Start:
August 19, 2024
Classes End:
December 3, 2024
Location:
01216 SAS Hall
Class Days:
T H
Class Start Time:
8:30am
Class End Time:
9:45am
Class Type:
Lecture
Credits:
3.00
Restrictions:
None
