Advanced Derivatives - FEN 455

This course focuses on options, futures, forward and swaps at an advanced level. It introduces a framework for pricing derivatives securities by arbitrage, binomial model, and the Black-Scholes formula. It shows how derivatives securities are used to achieve various hedging objectives and advanced trading strategies. Designing and valuing swaps are covered. Options on stock indices, currencies, and futures and exotic options are also discussed. Finally, the course includes the practical implementation of speculative trading strategies using options. Prerequisite: BAF 450.