DERIVATIVES

Catalog description

This course deals with (i) the structure and operation of derivative markets (options, forward contracts, futures, swaps, and other derivatives); (ii) the valuation of derivatives; (iii) the use of derivatives in investment decisions; (iv) the hedging of derivatives; and (v) case analyses related to the applications of derivatives in the areas of risk management, portfolio insurance, and financial engineering. The models that will be studied include the Black-Scholes model, binomial trees, and Monte-Carlo simulation. Specific topics include simple no-arbitrage pricing relations for futures/forward contracts and the put-call parity relationship; delta, gamma, and vega hedging; and implied volatility.