Futures and Options

Catalog description

This course focuses on the financial derivatives known as options and futures. Topics include the long and short positions in calls and put options, valuing options using the Black-Scholes-Merton option pricing model, the “Greeks” of options including delta, gamma, vega, and theta, put-call parity, covered call options, options combinations and spreads, forwards and futures markets, arbitrage conditions for options and futures, credit derivatives, comparing hedging strategies for options and futures, using financial engineering with futures contracts to adjust characteristics of stock and bond portfolios, basics of swaps markets, and swaptions. Emphasis is placed on the use of derivative contracts for hedging and speculative purposes. Prerequisite: MBA 635.