INTRODUCTION TO FINANCIAL DERIVATIVES

Undergraduate

Introduction to mathematical techniques used to price and hedge derivative securities in modern finance. Topics include: modelling, analysis and computations for basic options and forwards on different class assets, general properties of options including put-call parity relationship, pricing and hedging of European and American options using the binomial model, Black-Scholes formulas for calls and puts, option Greeks, Delta-hedging, exotic options including Asian and barrier options. PREREQUISITE: AMS 2160 Three lecture hours per week plus a one hour lab per week