Asset Pricing and Derivatives

Catalog description

This course is a strong introduction to the theoretical and practical aspects of financial derivatives including Futures, Options and Swaps. Derivatives have recorded huge growth due to their hedging, speculative and bona fide applications and due to their profound effects in times of crisis. Derivatives are quantitative in nature; however, they also relate to theoretical knowledge and intuitive judgment in structuring and real-life applications. This course will use the quantitative tools learned as a prerequisite. The goal is to develop an understanding of how derivative securities work (pricing, trading, marking to market, hedging...), grow intuition on their application and expand on their basics to engineer innovative and exotic securities that allow tailoring the amount and kind of risk, be it risk associated with changes in interest rates, exchange rates, stock prices, commodity prices, inflation, weather, etc. The course will also explore the emergence of derivatives market and its applications in the local economy.