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Searched for: 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: TR10-11.30 (E62-276) +final
Students develop the economic intuition and technical skills necessary to understand how to hedge and price derivatives, and how to use them for investment and risk management purposes. 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, 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.
D. Lucas
Textbooks (Spring 2023)
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