Derivatives Markets I
Опубликовано на портале: 23-10-2003
|
Aннотация:
A rigorous and quantitatively demanding MBA course on futures, options, and related derivatives. The emphasis is on arbitrage pricing and hedging methods.
A rigorous and quantitatively demanding MBA course on futures, options, and related derivatives. The emphasis is on arbitrage pricing and hedging methods.
TOPICS
1. Introduction to Forwards and Options
2. Payoff Diagrams and Arbitrage Restrictions
3. Forward Pricing with Dividends
4. Futures Markets, Swaps
5. Basic arbitrage relationships of option prices
6. Binomial Pricing
7. The Black-Merton-Scholes model
8. Hedging with the Black-Merton-Scholes model
TEXT
Robert L. McDonald Derivatives Markets
1. Introduction to Forwards and Options
2. Payoff Diagrams and Arbitrage Restrictions
3. Forward Pricing with Dividends
4. Futures Markets, Swaps
5. Basic arbitrage relationships of option prices
6. Binomial Pricing
7. The Black-Merton-Scholes model
8. Hedging with the Black-Merton-Scholes model
TEXT
Robert L. McDonald Derivatives Markets
|
|
Полный
текст
программы
на
сайте
Northwestern
University,
Kellogg
School
of
Management:
http://www.kellogg.northwestern.edu/facu... |
Ключевые слова
См. также:
Journal of Economic Dynamics and Control.
1997.
Vol. 21.
No. 8-9.
P. 1267-1321 .
[Статья]
Journal of Financial Economics.
1979.
Vol. 7.
No. 1.
P. 63-81.
[Статья]
Theoretical and Applied Economics.
2006.
Vol. 6.
No. 6.
P. 73-76.
[Статья]
[Книга]
[Учебная программа]
[Учебная программа]