Course Description

This course presents and analyzes derivatives, such as forwards, futures, swaps, and options. It compares major types of derivatives, shows how they are used to achieve various hedging and speculating objectives, introduces a framework for pricing derivatives, and studies several applications of derivative-pricing techniques outside derivative markets. Topics also include traditional and exotic derivatives, market risk, credit issuer risk, stressed correlation materials, fat tails, and case studies in corporate finance.

Learning Outcomes

  • Assess the risk associated with different derivatives.
  • Analyze short-sale and its applications.
  • Compare and contrast the forward contract, the future contracts, put and call options.
  • Design new a instrument using other financial instruments.
  • Evaluate different strategies that permit speculating on direction of the stock or size of stock price moves (volatility).
  • Compare and contrast the differences different hedging techniques.
  • Appraise the option price.
  • Use Application Builder and from which build your own applications.
  • Assess the differences between a Markov and a non-Markov model of short rate.
  • Compare and contrast the three dividend models.
  • Use the Health-Jarrow-Morton model to price options on Treasury bills, Treasury bonds, Treasury bill futures and Treasury bond futures.
  • Evaluate non-standard or exotic options on foreign currencies.


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