Use and pricing of forwards and futures, swaps, and options. Strategies for speculation and risk management, no-arbitrage pricing for forward contracts, binomial and Black-Scholes option pricing models, applications of pricing models in other contexts.Investments (KELLG_FE-312-0)
Active portfolio strategies in bonds and stocks, optimal portfolio selection from the perspective of individual and institutional investors, and the role of style and performance benchmarks in portfolio management. Performance evaluation, trading costs, and other special topics.Derivatives Markets (FINC-465-0)
This course introduces forwards, futures, options and related financial contracts, which are widely used for risk management in the form of standardized derivative securities, but also represent features that are found in common corporate securities, not typically thought of as derivatives. The course develops in depth a conceptual and analytical framework for understanding the pricing of these features, as well as strategies for managing risk. Covered topics include the following. Basic risk-management strategies using forward contracts, call and put options. Arbitrage relationship between spot prices and forward prices based on the role of dividends, cost of carry and convenience yields, with applications to securities lending, commodities and foreign exchange. An overview of futures markets: OTC markets versus exchanges, mark-to-market, margins, the role of clearinghouses. Statistical hedging with futures and the notion of basis risk. Introduction to swaps as a natural extension of forwards and futures. Fundamental option-pricing results such as put-call parity (including for hard-to-short stocks), general patterns in the optimal exercise of American options, and how the pricing of risk relates to the time horizon. Binomial pricing and hedging, and its limiting Black-Scholes model and associated hedging and market-making techniques. Overview of option pricing applications in corporate and other settings.Capital Markets (FINC-450-0)
This course develops the key concepts necessary to understand financial markets using, where possible, the perspective of personal investing. Some of the personal investing topics covered include: Retirement planning, the cost of investing in mutual funds, how to select mutual funds, how to measure a portfolio's performance, factor investing, and arbitrage trading.
This class provides students with a structure for thinking about financial markets and the pricing of financial securities. The financial securities we study and price include stocks, bonds, futures, and options.
The class teaches how to address investment problems in a systematic manner using case studies. They are used to examine issues in the selection and implementation of investment strategies. In the process, the class examines current academic work about financial markets and their applications to investing.