Derivative Securities

  • 7-weeks
  • 1.5 credits
  • Prerequisite: F520

This course will take a detailed look at the markets (both exchange and over-the-counter) in which options and futures/forwards are traded. We will extend the pricing theories covered in F520. A considerable amount of time will be spent on analyzing investment strategies. Because of the material’s nature, students must have some comfort with math.

  • Market structure
  • Pricing: A review of basics and more advanced models
  • Option and futures strategies
  • Introduction to hedging

Course Materials: An Introduction to Options, Hull Options as a Strategic Investment, Macmillan Futures Markets, Siegal and Siegal 

Grading Criteria: Exam(s), written assignments, and problem sets.

Kelley School of Business

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