Module 5: Derivatives Market
17 March 2013
This is a module in derivatives markets: structure, valuation and strategies. It builds on the content of Module 3 and combines theory, empirical findings and practical applications. The main applications include the equities markets, foreign exchange and commodities. The key derivatives instruments discussed include forwards, futures and options. Readings, cases and examples include the recent financial crisis, the 1987 Crash, LTCM, Amaranth, Metallgesellschaft, etc.
It has two parts: The first part deals with the structure of futures markets, pricing of futures contracts and hedging with such contracts. The second, and larger, part deals with options markets; strategies; pricing and position analysis. It includes topics like: Short Selling, Value-at-Risk, Exotic Options, Volatility Derivatives and Trading Volatility. The course will consist of lectures, discussions and problem solving.
Clark the TA was very happy to help! Great lecture.
This has been the best module. Options valuation, futures valuation, case studies, the articles, the part of mathematical calculations were the most useful. Very practical and useful.
Some professors are truly unforgettable. Prof Brenner is very clear in his explanations and speaks with clarity. He earnestly answered questions from students and clearly communicated the logic behind the pricing models instead of introducing only the model itself. Difficult topic but Prof made it easier to digest. The professor is amazing. With an Al Pacino voice and a Mel Brooks sense of humor, he enthralled our class with mix of anerdotes, pragmatism, and an intuitive approach to otherwise complicated theory. What a privilege to have him instruct us. Love the stories. Awesome module. The entire program was excellent.