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Advanced Derivatives

People

Barone Adesi G.

Course director

Ye Y.

Assistant

Description

Prerequisites
Derivatives

Objectives
Knowledge of some newer derivative contract and strategies

Description / Program
Finite Differences
Simulation Methods
Exotic Options
Advanced numerical methods
The standard and the LIBOR Market Model
Credit risk and credit derivatives
Mishaps in derivative markets

Learning Method / Style of Lessons
Lectures 50% Exercise sessions 50%
Compliant with COVID-19 guidelines

Exam Style
Optional Midterm 50%, Final Exam 50-100%

Readings/Textbooks
John C. Hull : Options, Futures and Other Derivatives, Pearson, Eigth Edition

Education