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 | Instructor(s) |
|---|---|---|---|
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LECTURE Q1
(13631) |
13 |
2024-01-08 - 2024-04-12 (MWF)
12:00 - 12:50
CAB 269
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Primary Instructor: Alexander Melnikov
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| Section | Capacity | Class times | Instructor(s) |
|---|---|---|---|
|
LECTURE Q1
(73154) |
55 |
2025-01-06 - 2025-04-09 (MWF)
12:00 - 12:50
ESB 2-35
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