BUS 624 - Derivative Asset Analysis

This course covers the valuation and use of derivative assets.  During the first portion of the semester, the class examines call and put option contracts having common stocks as their underlying assets and also considers relative pricing requirements for these contracts which are enforced by arbitrage trading strategies. Extension of this analytic technique will lead to the derivation of exact valuation models.  Options with other underlying assets, and exotic securities with option-like features are also examined.   During the second portion of the course futures contracts are studied, with an emphasis on stock-index futures.  The focus again will be on relative pricing requirements enforced by arbitrage trading strategies. The overall objective of the class is to give students the skills to assess the values and risks of derivative assets and to develop strategies based on their analysis. Problem sets, cases and a project reinforce the material presented.