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Derivatives

People

Pisati M. M.

Assistant

Description

Prerequisites
Capital markets

Objectives
Knowledge of basic derivative contracts and strategies

Description / Program

(1) Introduction to Derivatives

(2) Mechanics of Futures Markets

(3) Hedging Strategies Using Futures

(4) Mechanics of Options Markets

(5) Properties of Stock Options

(6) Trading Strategies Involving options

(7) Binomial Trees

(8) Wiener Processes and Ito's Lemma

(9) The Black-Scholes-Merton Model

(10) Greek Letters

(11) Interest Rates

(12) Determination of Forward and Futures Prices

(13) Interest Rate Futures

(14) Swaps

Learning Method / Style of Lessons
Lectures 50% Exercise sessions 50%

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

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

Education