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MSF 505 - Futures, Options, and OTC Derivatives

Course Description: 

This course provides the foundation for understanding the price and risk management of derivative securities. The course starts with simple derivatives, e.g., forwards and futures, and develops the concept of arbitrage-free pricing and hedging. Based upon the work of Black, Scholes, and Merton, the course extends their pricing model through the use of lattices, Monte Carlo simulation methods, and more advanced strategies. Mathematical tools in stochastic processes are gradually introduced throughout the course. Particular emphasis is given to the pricing of interest rate derivatives, e.g., FRAs, swaps, bond options, caps, collars, and floors.




[(MSF 501 with min. grade of C, MSF 502 with min. grade of C, and MSF 503 with min. grade of C)]