FIN 605 - Derivatives and Risk Management

This course introduces students to a wide range of derivative securities in global financial markets. More specifically, forward contracts, futures, options, and swaps are examined, with an emphasis on the pricing of these instruments. In this respect, a solid coverage of arbitrage-free valuation is provided as well as the cost-of-carry model, the binomial option-pricing model, and the Black-Scholes formula. The course also provides the students with a general framework for measuring and managing financial risks and focuses on how derivative securities are used against common risk factors such as interest rates, exchange rates and credit risk. In addition to hedging strategies created with derivative securities, various other trading strategies involving options (spreads and combinations) are presented. Simulations are used extensively to introduce delta hedging and portfolio insurance.

Concentrations - Finance

Credits: 3