This course employs both lectures and case studies to cover the foundations of financial derivatives and their applications. We cover both linear instruments, such as forward, futures, and swaps, as well as non-linear instruments such as options and credit derivatives. The use of case studies will help cement the concepts learnt in lectures and practically illustrate the use – and misuse – of financial derivatives in the real world. The course material spans different markets, such as stocks, foreign currencies, interest rates, commodities, and defaultable securities. Applications and case studies include topics related to financial risk management, the dislocation of capital and arbitrage opportunities during the 2007 - 2008 financial crisis, the valuation of customized financial products, the valuation and hedging of corporate securities (such as warrants, corporate bonds and equity), and the study of credit risk and credit derivatives.
The course is analytical in nature and requires the knowledge of calculus, probability, statistics, and regression analysis. The use of spreadsheet packages such as Excel is important for solving homework assignments and performing the required case analysis. Homework 0, assigned before class and due on the first day of classes, should be used to gauge your proficiency in these skills.
To know more about the course, you can download a PDF file with the Course Syllabus.
If you took similar or more advanced courses either at Booth or at another institution you must contact me by e-mail to obtain a waiver for the strict requirements. My email is firstname.lastname@example.org.
Link to Homework 0, due on the first day of class.
All material for the course is on Canvas