DERIVATIVE SECURITIES

ECON/FINANCE 300

Concepts and techniques in corporate finance and investments. Topics include the financial environment, securities markets, financial markets, financial statements and analysis, working capital management, capital budgeting, cost of capital, dividend policy, asset valuation, investments, decision-making under uncertainty, mergers, options, and futures.

FINANCE 340

Analysis of fixed income, bond markets. The objective of the class is to introduce tools for evaluating bonds and making decisions about trading and hedging portfolios of fixed income securities. The main focus is on government bonds and derivative securities associated with them. Consider basic ways to price these bonds using techniques that are well established on Wall St. Introduces basic trading strategies based on exploiting mis-priced securities. Such strategies are profitable when risks are minimized, and so we will discuss several ways to measure and minimize risk. Also discusses the pricing of derivative securities such as bond options and swaps. Other topics include repo financing, mortgage markets, and basic issues involving default risk of corporate bonds.

FINANCE 830

Introduces continuous-time financial models essential for the advanced analysis of derivative securities. Discuss the fundamental mathematical concepts and tools from continuous-time stochastic processes including Brownian motion, Poisson processes, stochastic calculus, and change of measure. This provides a framework for analyzing derivative securities including their pricing, hedging, and risk management. In particular, covers the Black-Scholes and stochastic volatility models for equity options; basic term-structure modeling for interest rate derivatives; and reduced-form credit-risk models. Emphasis is put on applications and economic interpretation rather than mathematical rigor.

FINANCE 740

Detailed coverage of fixed income securities and their derivatives; asset backed/mortgage backed securities; pricing and portfolio strategies; term structures models and other analytical tools.

FINANCE 730

Covers the pricing and uses of the most common derivative contracts including options, forward contracts, futures contracts, and exchange-traded funds (ETFs). Also emphasizes a practical understanding of trading and management of portfolios of these contracts, and makes use of an online trading platform. Mathematical and statistical analyses are used throughout.