MAF2005H: Derivatives

This course delineates the important aspects of derivative instruments. It has four main components. First, the course introduces students to the essential concepts (e.g., risk-neutrality and arbitrage pricing) and valuation techniques/models such as the cost-of-carry model for futures, and the Black-Scholes model for options (both the basic and the more advanced, extended models). Second, the course also examines the valuation and application of more advanced securities such as interest rate swaps, floors, caps and credit default swaps. Third, numerical valuation techniques such as binomial trees and finite difference methods (implicit and explicit) will be introduced. Fourth, the course enlightens students with the practical aspect of the derivatives markets. Through real-time trading of derivative securities, students will be able to apply their classroom knowledge and shrewd judgment to real-world investing. Ethics and proper trading conducts as well as current research in the area of derivatives will be covered throughout this course.

0.50
Scarborough