The mathematical requirements of the course are primarily algebraic, but the student will also need to rely on statistical methods and some calculus. Please note that this is not a survey course. It is an intensive introduction to derivative securities pricing and market mechanics. This course provides materials and projects that will allow the student to develop a detailed understanding of the design and use of derivatives securities in trading and risk management, while reviewing the important aspects of valuation and analysis. Policy and practice in risk management are integrated into the course using case analysis and the application of concepts learned in this and prior courses to solve and understand real-world problems.
Students read and present current and forthcoming articles and papers.
Explores traditional valuation models, and introduces methods and interests currently used in the marketplace. Use of data feeds and software available in the Trading Room enhances students' understanding of these issues. This course will provide the students with the issues, techniques and methodologies associated with constructing and evaluating portfolios. The course will use material from ST 625, including both statistics and calculus, to analyze issues such as diversification, optimal portfolio selection, capital market theory and application, performance evaluation, efficient markets, and behavioral finance, among others. The course will also address ethical issues and the professional code of conduct as it relates to portfolio management.