Annotation
The course covers a topic of derivative pricing, equity derivatives (European call and put options, exotic options), futures and forward contracts. The questions to be addressed in the class are: how do these contracts work and what are their payoffs? How are these derivatives used for hedging purposes and as a part of trading strategies? And, finally, how are they priced? The course highlights important ideas and concepts: absence of arbitrage, replication, and risk-neutral pricing.
These will be introduced in the discrete-time models, continuous-time stochastic processes and stochastic calculus will be covered as we go.