Derivatives and specialized products is a course which will examine topics dealing with derivative securities. Derivative securities are often utilized in the management of interest rate, exchange rate, commodity and equity price risks. Derivative securities also provide a vehicle for investors to speculate. The types of derivative securities, their use in modern finance, and methods for pricing them will be the subject matter for this course.
- Discussion of risk
- Mechanics and pricing of forwards and futures
- Interest rate futures
- Options markets
- Properties of stock options
- Trading strategies involving options
- Option pricing: the binomial model
- Option pricing: the Black-Scholes model
- Options on stock indices, currencies, and futures
Methods Of Instruction
Material will be presented within a lecture format.
Means of Assessment
Minimum of 3 evaluations, none of which will exceed 40%, for a total of 100%.
At the end of the course, the successful student should be able to:
- analyze and understand the meaning of risk;
- utilize derivative securities for the purpose of managing risk;
- determine the value of different derivative securities;
- analyze the mechanics of futures and options trading.
Textbooks and Materials to be Purchased by Students
- Hull, J. Fundamentals of Futures and Options Markets, Latest Ed. Toronto: Prentice Hall Canada. (required)
- Ritchken, P. Derivative Markets: Theory, Strategy, and Applications, Latest Ed. HarperCollins Publishers Ltd. (optional)