Эксоцман
на главную поиск contacts

Advanced Topics in Finance: Seminar in Financial Derivatives

Опубликовано на портале: 05-02-2003
Факультет: Departament of Finance
Год: Spring 2001
Язык: Английский
Тематические разделы: Экономика, Финансовая экономика

Aннотация:
This course is a doctoral seminar in financial derivatives. The pre-requisite is Financial Derivatives II or an equivalent course. There are no exceptions. This is an extremely advanced course. Students not qualifying for the course can sit in on it but are not eligible to receive a grade. In this course students will provide extensive details on the theory underlying these models. One thing students shall cover little, if any, is empirical research in derivatives. The pace of empirical research in derivatives has slowed considerably due to lack of data on over-the-counter derivatives and the fact that research on exchange-listed derivatives can best be described as in a mature stage. Thus, the state of empirical research on derivatives can best be described as at a mature stage. In addition theoretical research covers a broad range of topics and includes research using simulation in lieu of actual observed prices. Time permiting students may be able to discuss the state of empirical research on derivatives and point you in the right direction for what to read next. Another theoretical topic students shall not cover is the binomial model. It is assumed you have had a rigorous treatment of it. By al means, be aware of the relationship of it to the Black-Scholes model as the limiting case.



Part I: Mathematical Foundations of Option Pricing (4 weeks)
1. Basic Stochastic Processes
2. Itos Lemma
3. Martingales and Stochastic Integrals
4. Equivalent Martingale Measures and Girsanovs Theorem
5. The Black-Scholes Model
6. Numerical Methods

Part II: Exotic Options and Extensions (4 weeks)
7. Extensions of the Black-Scholes Model
8. American Options
9. Asian Options
10. Barrier Options
11. Lookback Options
12. Implied Probability Trees
13. Credit Risk

Part III: Term Structure Modeling and Interest Rate Derivative Pricing (6 weeks)
14. Basic Term Structure Concepts, Principles and Results

LITERATURE
R. A. Jarrow. Modeling Fixed Income Securities and Interest Rate Options. New York: McGraw-Hill(1996).
S. N. Neftci. An Introduction to the Mathematics of Financial Derivatives. San Diego: Academic Press(2000).
Jarrow, R. and S. Turnbul. Derivative Securities. Cincinnati: South-Western (1996).
Chichester, U. K.: Wiley (2000).
Ritchken, P. Derivatives Markets: Theory, Strategy and Applications. New York: HarperCollins (1996).
Bensoussan, A. On the Theory of Option Pricing. Acta Applicandae Mathematicae 2 (1984), 139-158.
Boyle, P. P. Options: A Monte Carlo Approach. Journal of Financial Economics 4 (1977), 323-338.
Boyle, P., M. Broadie and P. Glasserman. Monte Carlo Methods for Security Pricing. Journal of Economic Dynamics and Control 21 (1997), 1267-1321.
Brockhaus, O., A. Ferraris, C. Gallus, D. Long, R. Martin and M. Overhaus. Mathematical Fundamentals. Chapter 1 in Modeling and Hedging Equity Derivatives. London: Risk Books (1999).
Conze, A. and Viswanathan. Path Dependent Options: The Case of Lookback Options, The Journal of Finance 46 (1991), 1893-1907.
Derman, E. and I. Kani. Riding on a Smile. Risk 7 (February, 1994), 32-39.
Dupire, B. Pricing with a Smile. Risk 7 (January, 1994), 18-20.
Geske, R. The Valuation of Compound Options. Journal of Financial Economics 7 (1979), 63-81.
Geske, R. and H. E. Johnson. The American Put Option Valued Analyticaly. The Journal of Finance 39(1984), 1511-1524.
Harrison, J. M. and D. M. Kreps. Martingales and Arbitrage in Multiperiod Securities Markets. Journal of Economic Theory 20 (1979), 381-408.
Harrison, J. M. and S. R. Pliska. Martingales and Stochastic Integrals in the Theory of Continuous Trading. Stochastic Processes and Their Applications 11 (1981), 215-260.
Heynen,R.C.and H. M. Kat (1). Chapter6: Barrier Options in L. Clewlow and C. Strickland,eds., Exotic Options: The State of the Art. London: International Thomson Business Press (1997).
Heynen, R. C. and H.M. Kat (2).Chapter 5: LookbackOptions -Pricingand Applications, in L. Clewlow and C. Strickland, eds., Exotic Options: The State of the Art. London: International Thomson Business Press (1997).
Jarrow, R. A., D. Lando and S. M. Turnbul. Markov Model for the Term Structure of Credit Spreads. Review of Financial Studies 10 (1997), 481-523.
Jarrow, R. A. and S. M. Turnbul. Pricing Options on Derivative Securities Subject to Default Risk. The Journal of Finance 50 (1997), 53-85.
Levy, E. Chapter 4: Asian Options, in L. Clewlow and C. Strickland, eds., Exotic Options: The State of the Art. London: International Thomson Business Press (1997).
Margrabe, W. The Value of an Option to Exchange One Asset for Another. The Journal of Finance 33 (1978), 177-186.
Merton, R. C. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance 29 (1974), 449-470.
Rich, D. R. The Mathematical Foundations of Barrier Option-Pricing Theory. Advances in Futures and Options Research 7 (1994), 267-311.
Rol, R. An Analytic Valuation Formula for Unprotected American Cal Options on Stocks with Known Dividends. Journal of Financial Economics 5 (1977), 251-258.
Rubinstein, M. (1) As Simple as One, Two, Three. Risk 8 (January, 1995), 44-47.
Rubinstein, M. (2) Implied Binomial Trees. The Journal of Finance 49 (1994), 771-818.
Rubinstein, M. and E. Reiner. Breaking Down the Barriers. Risk 4 (August, 1991), 28-35.
Stulz, R. M. Options on the Minimumor the Maximumof Two Risky Assets: Analysis and Applications.Journal of Financial Economics 10 (1982), 161-185.
Whaley, R. E. On the Valuation of American Cal Options on Stocks with Known Dividends. Journal of Financial Economics 7 (1981), 207-211.

http://www.cob.vt.edu/finance/faculty/dm...

Ключевые слова

См. также:
Franklin Allen
[Учебная программа]
Michael Boss, Gerald Krenn, Claus Puhr, Markus S. Schwaiger
Financial Stability Report. 2007.  No. 13. P. 115-134. 
[Статья]
Constantinos Skiadas
[Учебная программа]
Michael C. Jensen, Kevin J. Murphy
Journal of Political Economy. 1990.  Vol. 98. No. 2. P. 225-264. 
[Статья]
Lavinia Vasile
Theoretical and Applied Economics. 2006.  Vol. 6. No. 6. P. 73-76. 
[Статья]
Don M. Chance
[Книга]