Course Detail

Financial Instruments (35100)

Course Description by Faculty

  • Constantinides, George
  • Content
    I develop, critically assess, and apply theories of pricing derivatives. Topics: forward and futures contracts; interest rate and currency swaps; trading strategies; early exercise of American options; binomial option pricing; the Black-Scholes-Merton option pricing model; extensions of the BSM model; risk management with options; empirical evidence and time-varying volatility; the pricing and hedging of corporate securities (common stock, senior and junior bonds, callable bonds, warrants, convertible bonds, and putable bonds) and credit risk. I emphasize the application of the theory to the management of risk. I make every effort to bring out the intuition behind the results.
    Format
    • Lectures

    • Discussion

    • Case Studies

    • Group Projects

  • Prerequisites
    Business 35000, helpful but not required. Cannot enroll in BUSN 35100 if BUSN 20405 taken previously.
  • Materials
    Lecture notes and readings posted weekly on the course web site; J. Hull, Options, Futures and Other Derivatives; and J. Hull, Solutions Manual. Optional textbook: R. McDonald, Derivatives Markets.
    Resources
    • Canvas Site Available

  • Grades
    Based on weekly problem sets, case studies, a mid-term examination, a final examination, and class participation. No auditors.
    Grades
    • Graded homework assignments

    • Graded attendance/participation

    • Allow Provisional Grades (For joint degree and non-Booth students only)

    • Early Final Grades (For joint degree and non-Booth students only)

    Assessment & Testing
    • Midterm

    • Final exam (in class)

    Restrictions
    • No auditors

  • Syllabus
  • Autumn 2021Section: 35100-81TH 6:00PM-9:00PMGleacher Center208In-Person Only
  • Autumn 2021Section: 35100-85S 1:30PM-4:30PMGleacher Center208Dual Modality
    Faculty In-Person
Description and/or course criteria last updated: July 23 2021