Derivatives Securities 7.5 credits

The course focuses on the opportunities created by derivative securities for firms and financial operators in general, with an emphasis on the hedging of risks deriving from business operations. The main classes of securities considered are forward contracts, futures contracts, swaps, and options. The broad class of options includes both standard stock options, and more specific securities such as currency options, warrants issued by companies, and also "exotic options." In each case, we consider the structure of the securities, their pricing - typically by no-arbitrage techniques – and their use, illustrated by several examples. Special attention is paid to the possibilities offered by computer routines allowing tackling the complex mathematical problems that are typically faced by financial operators, in connection with the use and the pricing of derivatives securities.