Options Markets Course

The course is aimed to give a walk through the available markets and the different traded securities on these markets. The course will cover the numerical procedures of security engineering using real market prices. The course will utilize excel platform for importing options and stocks data and analysis.     

Covered Topics

1.      Introduction to options markets-EMH.
         Efficient Market Hypothesis - Today and Then.  (Burton Malkiel)

           Markets are Efficient if and Only if P = NP (

Philip Maymin)

2.     Options strategies.
          Chapter. 16 - Financial Modeling - 2nd Edition: Simon Benninga
             External link
         
3.     The binomial Option pricing model.
          Chapter. 17 - Financial Modeling - 2nd Edition: Simon Benninga

4.     The log-normal distribution.
              Chapter. 18 - Financial Modeling - 2nd Edition: Simon Benninga

5.     The Black-Scholes model applications analysis and sensitivity.
           Chapter. 19 - Financial Modeling - 2nd Edition: Simon Benninga

7.        Option Greeks.
             Chapter. 20 - Financial Modeling - 2nd Edition: Simon Benninga

6.     Portfolio insurance
             Chapter. 21 - Financial Modeling - 2nd Edition: Simon Benninga

7.     Real Options
          Chapter. 24 - Financial Modeling - 2nd Edition: Simon Benninga

8.     Early Exercise Boundaries.  


Text book

Financial Modeling - 2nd Edition:
Simon Benninga
The MIT Press
Access is available via library catalog. On campus is free for all Technion users. Off Campus is open to subscribers of the Technion internet services that have a password generator.

Extra reading   

Building Financial Models
John Tjia
McGraw-Hill

The Mathematics of Financial Modeling and Investment Management
Sergio M. Focardi , Frank J. Fabozzi
Wiley

Business, Economics, and Finance with Matlab, GIS, and Simulation Models
Patrick L. Anderson
Chapman & Hall/CRC

Course Assignments PPT