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INTRODUCTION
Week One
Lecture 1: Introduction.
Course overview.
Financial Risk
Derivatives.
I. OPTIONS
Lecture 2: Introduction.
Different options.
Institutional aspects: margins.
Payoff diagrams.
H: 8.
Week Two
Lecture 3-4: Arbitrage Pricing.
Determinants of prices.
Put-call parity.
Price boundaries.
H: 9.
Week Three
Lecture 5-6: Trading Strategies.
One stock and one option.
Spreads.
Combinations.
H: 10.
Week Four
Lecture 7-8: Binomial Pricing Model.
Single-period.
Multi-period.
Pricing of American options.
H: 11.
Week Five
Lecture 9-10: Black and Scholes mathematical foundations.
Uncertainty.
Continuous Time processes.
Itos Lemma.
H: 12-13.
Week Six
Lecture 11-12: Black and Scholes formula.
Assumptions of the BS formula.
Implicit volatilities.
Extensions to the BS formula.
H: 12-13.
Week 7
Lecture 10: Midterm October 6th
Week Eight
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