ADVANCEDDERIVATIVESDescriptionThiscoursebuildsonthematerialcoveredinOptionsandFuturesMarkets.Itisintendedforstudentswhohaveaquantitativebackgroundandareinterestedinenhancingtheirknowledgeofthewayinwhichderivativescanbeanalyzed.RequiredReadingsHull,JohnC.Options,Futures,andOtherDerivatives,9thEditionHull,JohnC.SolutionsManualforOptions,Futures,andOtherDerivatives,9thEditionAssignmentsTherearethreehand-inassignmentsduringthesemester:Assignment1:14.13,14.14,14.16,15.27,15.29,21.26,21.28,21.30(dueweek5)Assignment2:20.25,27.20,27.22,25.24,25.29,26.26,26.27,26.28,27.23(dueweek10)Assignment3:28.16,28.17,29.23,29.25,30.11,31.24,31.28,32.14(dueweek14)AssessmentAssignment115%Assignment215%Assignment320%FinalExam50%Thefinalexaminationwillnotbeopenbook.Youwillbepermittedatwo-sided“cheatsheet”withnotesand/orformulae.ScheduleWeek1:Introduction;WienerProcessesandIto’slemma;Chapter14Week2:TheBlack-Scholesdifferentialequation;Chapter15(espSection15.6)Week3-4:Numericalprocedures:Binomialandtrinomialtrees;MonteCarlosimulation;finitedifferencemethods;Chapter21Week5:AlternativestoBlack-Scholes;Chapter20(review)andSections27.1to27.3Week6-7:Creditderivatives;Section24.2andChapter25Week8-9:Exoticoptionsandtheirvaluation;Chapter26andSections27.4to27.8Week10:Martingalesandmeasures;Chapter28Week11-13:Interestratederivatives;Chapters29-32Week14:Swapsrevisited;Chapter33Week15:Coursereview;Chapter36
