NBA 6740 - Derivatives Securities Part II

Fall. 1.5 credits.

Prerequisite: NCC 5060 or permission of instructor.

P. Gao.

This course is a continuation of NBA 6730 (Derivatives Securities I). First, we will further dig into options by discussing no-arbitrage bounds in option prices, American options, option trading strategies, implied volatilities, dynamic replications, and risk management through options. Second, we will explore corporate securities such as common equity, warrants, callable bond, puttable bond, and convertible bond. Finally, we will discuss credit risk and credit derivatives such as credit default swaps (CDS). We use real-world cases to illustrate important applications of derivatives. At the end of the course, you should have a good understanding of risk-neutral pricing that is fundamental to all derivative securities.