MIT Subject Listing & Schedule
Fall 2018 Search Results

Searched for: "15.437"    Subjects offered any term

1 subject found.

15.437 Options and Futures Markets

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Prereq: 15.401, 15.414, or 15.415
Units: 3-0-6
Credit cannot also be received for 15.4371
Lecture: TR2.30-4 (E51-149) +final

Develops economic intuition and technical skills, which increase understanding of how to use derivatives for investment and risk management purposes, and how to hedge and price them. Topics include determinants of forward and futures prices, hedging and synthetic asset creation with futures, uses of options in investment strategies, relation between puts and calls, option valuation using binomial trees and Monte Carlo simulation, implied binomial trees, advanced hedging techniques, exotic options, and applications to corporate securities and other financial instruments. Meets with 15.4371 when offered concurrently. Expectations and evaluation criteria differ for students taking graduate version; consult syllabus or instructor for specific details.
Y. Kitapbayev
Textbooks (Fall 2018)