Course details
Principles of Derivatives Pricing
FINA 60232A
The structures and assumptions of standard derivatives securities models are explored in details. The student's critical judgment on the evaluation and use of derivatives is developed. The course is divided into three parts: 1) The lognormal model of stock prices through a conceptualization of derivatives as expected values of future cash flows; 2) Principles of derivatives pricing through dynamic replication approaches; 3) Financial distress cases related to the use of derivatives and the lessons that can be learned for managers of financial and non-financial enterprises.
Themes covered
Preliminary concepts
Binomial model
Calculations with normal and lognormal distributions
Lognormal price model
Risk measures and other uses of Black-Sholes
Corporate application: corporate debt and default risk
Exotic options: pricing by simulation
Overview of derivative pricing models
Brownian Motion and Ito's Lemma
Risk-neutral process and forward pricing
The Black-Scholes equation
Financial disasters and derivatives: lessons from recent history
Important notes
Course in French : FINA 60232
Préalable(s): Être admis à la M. Sc. Finance. Cours mutuellement exclusif(s) : FINA 60205(A), FINA 60211(A) Vous ne pouvez pas vous inscrire à ce cours si vous avez réussi le cours FINA 60205(A) ou le cours FINA 60211(A).
Préalable(s): Être admis à la M. Sc. Finance. Cours mutuellement exclusif(s) : FINA 60205(A), FINA 60211(A) Vous ne pouvez pas vous inscrire à ce cours si vous avez réussi le cours FINA 60205(A) ou le cours FINA 60211(A).
Course code
FINA 60232A
Subject
Finance
Program
Maîtrise en gestion (M. Sc.)
Location
Côte-des-Neiges
Instruction mode
On-site learning
Credits
3