DERIVATIVE SECURITIES - THEORY AND PRACTICE

FINANCE 330

Pricing and uses of the most common derivatives including options, forward contracts, futures contracts, and swaps.

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 340

Analysis of fixed income, bond markets. Introduce tools for evaluating bonds and making decisions about trading and hedging portfolios of fixed income securities. Focus on government bonds and derivative securities. Consider basic ways to price bonds using techniques that are well established on Wall St. Introduces basic trading strategies based on exploiting mis-priced securities. Strategize ways to measure and minimize risk. Other topics include repo financing, mortgage markets, and basic issues involving default risk of corporate bonds.

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 720

Development of the theory, instruments, techniques and practice of modern investment management. Topics include asset pricing and valuation under certainty and uncertainty, portfolio management, determination of interest rates, immunization strategies and derivative securities.