The Derivatives course is designed for students interested in a career in investment banking or corporate finance. The primary purpose of the course is to teach students how to interpret and value the wide variety of derivatives products available. As such, the course examines a broad array of derivative products that range from basic futures contracts to the more specialized products developed for interest-rate markets. The valuation tools considered begin with basic arbitrage relationships and from there students will develop the Black-Scholes model. The course will also introduce the binomial approach and will use it as the primary valuation framework throughout the course. Students will also, through the use of assignments and problem sets, develop an intuitive understanding of why these products are used and the fundamental relationships that underlay all derivative products.


Academic course objectives:


·         Examine arbitrage-based pricing

·         Produce a solid analytical base for understanding derivative products

·         Show how derivative-type products are used and valued

·         Create knowledgeable consumers and producers of derivative products


Elements of the course grade:


Class contribution       20%

Final examination        45%

Written exercises         35%