内容简介:

Course description

The course covers material on options and other derivatives. These include forward contracts, futures contracts, swaps, and options. We will discuss how these contracts are structured, how they are priced, and how they are operationalized.

Course Requirements

The course will be primarily application-problem-based. We will have discussions on the theory and applications necessary to analyze the problem sets; however, the focus of the theory presented will be in offering approaches for analyzing the problem sets.

Class Topics

• Introduction

• Futures Markets & Central Counterparties

• Hedging Strategies Using Futures

• Interest Rates

• Determination of Forward and Futures Prices

• Interest Rate Futures

• Swaps

• Mechanics of Options Markets

• Binomial Trees • Black-Scholes-Merton Model

**Associated Problem Sets

**Associated Quizzes