Forward and futures contracts: forward and futures prices, hedging with futures. Options: put-call parity, bounds on option prices, time value of options. Option pricing: European and American options in the binomial tree model, Black-Scholes formula. Financial engineering: hedging option positions, hedging business risk. Variable interest rates: maturity-independent yields, general term structure. Stochastic interest rates: arbitrage pricing of bonds, interest rate derivative securities. Prerequisite: MATH 356 or consent of the Department.
| Section | Capacity | Class times | Login to view Instructor(s) and Location |
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LECTURE Q1
(73154) |
55 |
2025-01-06 - 2025-04-09 (MWF)
12:00 - 12:50
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