Options futures and other derivatives 2012 pdf
This course is restricted and enrollment is limited, please contact me if you are interested in taking the couse. Describe two pricing theory concepts 2. Related to the Vasicek model and IRS 6. Related to FX options 7. If you are interested in taking this course, please read through chapters of Shreve's book on Stochastic Calculus for finance volume 2.
Spend more time on chapters 3 and 4, with a light reading of chapters 1 and 2. You might be also interested in a Short Course on Commodity Models. Wed options futures and other derivatives 2012 pdf - 3pm in WB College Street.
Wed 3pm - 6pm in GB 35 St. This course focuses on financial theory and its application to various derivative products. A working knowledge of basic probability theory, stochastic calculus, knowledge of ordinary and partial differential equations and familiarity with the basic financial instruments is assumed.
The topics covered in this course include, but are not limited to:. Arbitrage Strategies and replicating portfolios. Multi-period model Cox, Ross, Rubenstein. Puts, Calls, and other European options in Black-Scholes.
The following are recommended but not required text books for this course. The exam focuses on theory and will be closed book, but I will provide a single sheet with pertinent formulae. Quizzes test basic knowledge of the material and are conducted in the tutorials every week. Challenges are real world inspired problems that are based on the theory.
You will be required to understand the theory, formulate an approach to the problem, implement the numerics in matlab or Rinterpret the results and write-up a short report. This will be conducted in teams of people. These are normally distributed every two-three weeks, options futures and other derivatives 2012 pdf you will be informed ahead of time when a challenge is to be conducted.
Mathematics and an MMF grad. I will hold office hours on Tuesday's from George Street Office Hours: Class notes and videos will be updated as the course progresses. Archived content options futures and other derivatives 2012 pdf can be found here. Description Video Notes 1. Friday, Monday and Tuesday 10 - noon. Interest rate derivatives Short rate and forward rate models Bond options, caps, floors, swap options.