This course features basic and intermediate topics in derivative pricing theory. A working knowledge of basic probability theory, stochastic calculus, knowledge of ordinary and partial differential equations and familiarity with the basic financial instruments is assumed. The topics covered in this course include, but are not limited to: fixed income products; forwards and futures; the binomial pricing model; the Black-Scholes model; sensitivity analysis (Greeks) and hedging; European, American, Asian, barrier and other path-dependent options; short rate models and interest rate derivatives; convertible bonds.