Futures and Options

3 credits · Graduate Programs

After presenting basic definitions, institutional details, and strategies, a general theory of derivative pricing based on the principle of No Arbitrage will be developed. This theory will then be applied to the basic derivative contracts (futures, forwards, put options and call option) as well as exotic options. Using the binomial model, as well as the continuous time model of Black Scholes, hedging and replication will also be examined. Prerequisite(s): Finance 601. Also known as: (formerly Finance 745)