FINA6522

This class provides an introduction to derivatives pricing models and their applications. Building on the insights from the binomial model and the Black-Scholes model, it covers dynamic replication and optimal risk management strategies. It also combines tools from derivatives pricing and the CAPM model to develop investment strategies that achieve the optimal risk and return trade-off. Students are required to use Excel, Matlab or other programming languages to build replicating portfolios and to construct optimal investment and risk management strategies. They are also required to use historical data to evaluate the effectiveness of these investment strategies.

prereq: 6121, MBA student

003198