Derivatives Securities Part II

Catalog description

This course is the sequel to NBA-6730 (Derivative Securities I). It is an introduction to the models used in industry to price and hedge derivatives. If focuses on the multiperiod binomial and the Black-Scholes-Merton models. Essential in the application of these models to practice is an understanding of the models' assumptions and how the model's implications change if the assumptions are violated. Consequently, the two goals of this course are to understand: (1) if the assumptions underlying the models hold, how to apply these models in practice, and (2) if the assumptions don't hold, what are the models' generalizations. The course is quantitative in nature, and it requires the use of algebra, some basic calculus, and simple probability theory.