MGF 636LEC - Complex Financial Instruments

Students taking this course should expect to learn about financial derivatives. Among others, students will learn about how to price financial derivatives and how to incorporate various real-world frictions into binomial trees and stochastic processes (such as underlying the commonly used Black & Scholes model). In a case-study we will use R programming to replicate the risk-neutral price of a variance swap (underlying the so called Volatility Index or VIX). The course will be of particular interest for students who contemplate pursuing a career in the financial industry, e.g. as a Quantitative Analyst. The required prior courses depend on your trajectory (e.g., MGF 633 “Investment Management” or MGF 634 “Quantitative Methods in Finance”). Please consult your study guide for details. In general, students are expected to possess good knowledge of mathematics and statistics. Students should also feel comfortable with Excel and some basic programming knowledge will be helpful. Mathematical, statistical, and Excel skills required for this course will be reviewed during the course.

Credits: 3

Term Typically Offered: Spring