Current Courses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

o   The course deals with (a) the structure and operation of derivative markets (options, forward contracts, futures, swaps and other derivatives), (b) the valuation of derivatives, (c) the hedging of derivatives, and (d) 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; implied standard deviation and its statistical properties; portfolio insurance and dynamic replication strategies. 

 

 

 

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