This course provides thorough understanding of the workings and pricing of derivative securities.
We cover model-free no-arbitrage bounds for derivatives prices, the binomial model and its continuous time limit, the mathematics of continuous time, the Black-Scholes model and its derivation, adjusting the Black-Scholes and binomial models to price futures and currency options, delta hedging and more fancy hedging, exotic derivatives, real options, executive options, credit risk, etc. A significant part of the course focuses on the numerical valuation of options.
- Options markets
- Model-free no-arbitrage bounds
- Trading strategies with options
- Binomial Trees
- Wiener Processes, Itos Lemma, Black-Scholes-Merton and beyond
- The Greeks
3. Numerical Methods and Applications
- Empirical Performance of Option Pricing Models
- Numerical Techniques
- Exotic Options, Volatility Smiles, Risk Management
- Real Options and Credit Risk
- International Derivatives Markets
- Environmental Derivatives
This is an excerpt from the complete course description for the course. If you are an active student at BI, you can find the complete course descriptions with information on eg. learning goals, learning process, curriculum and exam at portal.bi.no. We reserve the right to make changes to this description.