Παρουσίαση/Προβολή

(LOXR167) -  Rompolis Leonidas

Περιγραφή Μαθήματος

The course studies the pricing and use of derivative securities (forward/futures contracts, swaps and options), i.e., financial instruments whose value depends on the price of other basic underlying variables (such as stock prices, indices, foreign currencies, interest rates or commodities). The no-arbitrage pricing principle and its use in pricing forward, futures and swap contracts and in deriving option pricing restrictions is first developed together with the Binomial-tree valuation approach and the Black-Scholes option-pricing model. Then, various extensions of the theoretical option models (adjusted for dividends and early exercise) are presented and various applications are provided, in the pricing of options on stock indices, currencies, or futures and in the risk management (e.g., hedging stock market, foreign currency and interest-rate risk exposure).

Ημερομηνία δημιουργίας

Δευτέρα, 14 Φεβρουαρίου 2011