Course Description:

This course will cover bond mathematics; introduction to forwards, futures and other derivative securities; discrete-time models of equity markets and the term structure; pricing and dynamic hedging of derivative securities; option pricing; introduction to real options; and portfolio optimization.

Course syllabus

Market dynamics ans stock pricing.

PPT

Deterministic Cash Flows

PPT

Forwards, Swaps and Futures

PPT

Term structure construction

PPT

Martingale Pricing Theory

PPT

Application of Martingale Pricing: Options

PPT

Application of Martingale Pricing: Dynamic Portfolio Optimization

Books:

Investment Science by Luenberger. Oxford University Press. 1997

Options, Futures, and Other Derivatives by John C. Hull

Home Assignment 2, 3 : PPT

Form for Home Assignment 1: Form

Form for Home Assignment 2: Form

Form for Home Assignment 3: Form

Form for Home Assignment 4: Form

Absence Report