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Master of Science in Risk and Asset Management

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Module 4 - Options, Futures and other Derivatives


Over the past thirty years, derivative securities have experienced explosive growth. This course provides participants with an exhaustive coverage of widely used derivative products stressing pricing and uses for financial engineering and risk management.
The course starts with an overview of derivative instruments, markets, participants and uses. It then focuses on the pricing and uses of futures, forwards and options. The cost of carry relationship, the binomial approach, the Black-Scholes model and its variants are detailed to equip participants with the basic tools for pricing derivatives.
An overview of stochastic calculus and its application to derivatives pricing is included with emphasis on intuition to facilitate the presentation of difficult mathematical concepts.
The course examines practical uses of derivative securities as risk-management tools for corporations and financial institutions.

Written by DELPHINE DUFIET
Date of update June 4, 2008

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