Module 5: Derivatives Markets
11 March 2012
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.
Some of us found the options management, options pricing, Option Greeks, Futures parts the most useful. More of us found the whole module definitely worthy and really interesting. Good delivery style, clear presentation and complex material. Prof Brenner also described every concept in multiple ways. But Prof Brenner is an inspirational and engaging teacher. He is by far the best! Excellent class from Prof Brenner. Fantastic module - very challenging,