- Derivatives Market Overview
- Interest Rates
- Pricing of Forward and Futures Contracts
- Hedging Strategies using Futures and Interest Rate Futures
- Portfolio of Stock Options and Option trading Strategies
- Black-Scholes Model
- Options on Stock Indices
- Currencies and Futures
You must have successfully completed the following subject(s) before starting this subject:
No special requirements
This subject covers the theoretical foundations of derivative securities, financial forwards and futures, forward rate agreements (FRAs) and swaps, model-independent option valuation, geometric Brownian motion, Black-Scholes-Merton model, binomial model, option Greeks, and model risk.
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- Assignment 1 (25%)
- Mid Semester Test (25%)
- Final Invigilated Examination (50%)
Textbook information is pending.