Derivative Securities and Markets
FE 521 Derivative Securities and Markets (3+0+0) 3 ECTS 6 (Turev Urunler ve Pazarlari) Introduction to options and futures; determinants of option values; portfolio strategies using options; put - call parity, spot - futures parity, early exercise; binomial model; Black - Scholes model; option deltas and elasticities; delta hedging, pitfalls of dynamic hedging; forward rate agreements (FRA), futures implied forward rates; motivations for swaps, interest rate swaps, cross currency swaps, equity swaps; combining derivatives to engineer new products: stripping, reconstitution.
Instructor(s):
Prof. Dr. Vedat Akgiray