4.0

credits

Average Course Rating

This course will cover the pricing, trading and risk management of equity derivatives, with emphasis on more exotic derivatives such as path-dependent and multi-asset derivatives. The course will emphasize practical issues: students will build their own pricing and risk management tools, and gain experience simulating the dynamic hedging of a complex derivatives portfolio. Students will practice structuring and selling equity derivative products. Pricing issues such a model selection, unobservable input parameters and calibration will be discussed, and students will learn techniques to manage the often highly nonlinear and discontinuous risks associated with these products. The course will have a significant computing component: both in the classroom and as homework projects, students will use Excel, write VBA macros and write and call C++ routines in the Microsoft Windows environment (which is the most common computing environment used by the financial industry).