- 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.