Advanced Derivative Securities

3 units

This course focuses on implementation of models for pricing and hedging derivative securities in the equity, currency, and fixed-income markets. Students will learn to write programs to implement the Black-Scholes model, binomial models, Monte-Carlo methods and finite-difference methods. The derivatives studied will include exotic equity and currency derivatives and caps, floors and swaptions. The goals of the course are to learn more about the various instruments that are traded, the various assumptions and methods that may be chosen in modeling them, and the importance of the assumptions in determining the prices and hedges that are chosen. The course will be especially useful to students pursuing careers in sales and trading who will interact with research departments and students pursuing careers in asset management.