BUS 684 - Advanced Derivative Assets

This course will build upon the knowledge obtained in the class BUS 624/624P, Derivative Asset Analysis. Using the fundamental pricing technique (valuation by arbitrage) and the valuation models derived from this technique, various extensions and applications will be examined. These will primarily be equity-based, though some fixed-income products will analyzed. The perspective of both the derivatives dealer and the end-user of derivative products will be taken, the latter including both hedgers and speculators. Topics to be covered include exchange-traded versus structured products, financial engineering and product design, numerical methods (e.g. Monte Carlo simulation) and the mathematics of derivatives pricing. Included in the course will be an introduction to investment partnerships (a.k.a. hedge funds) and their role in the derivatives market.