Financial Instruments

Undergraduate / Graduate

This course develops, critically assesses, and applies theories of pricing derivatives. Topic discussed are: forward and futures contracts; interest rate and currency swaps; option trading strategies; binomial option pricing; the Black-Scholes-Merton option pricing model and extensions; risk management with options; empirical evidence and time-varying volatility; the pricing and hedging of corporate securities (common stock, senior and junior bonds, callable bonds, warrants, convertible bonds, and putable bonds); credit risk; and real options.