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MFG 456 - Derivative Instruments
Fall 2022, Section 001
Instruction Mode: Section 001 is  In Person (see other Sections below)
Subject: Manufacturing Engineering (MFG)
Department: CoE Program in Manufacturing
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 Details  Description  Schedule  Textbooks/Other Materials  Syllabi

Details

Credits:
3 (Non-LSA credit).
Requirements & Distribution:
BS
Waitlist Capacity:
20
Enforced Prerequisites:
[IOE 201 and 316 and 366; (C- or better)] or Graduate.
BS:
This course counts toward the 60 credits of math/science required for a Bachelor of Science degree.
Repeatability:
May not be repeated for credit.
Primary Instructor:
Saigal,Romesh

Description

The main objectives of the course are first, to provide the students with a thorough understanding of the theory of pricing derivatives in the absence of arbitrage, and second, to develop the mathematical and numerical tools necessary to calculate derivative security prices. We begin by exploring the implications of the absence of static arbitrage. We study, for instance, forward and futures contracts. We proceed to develop the implications of no arbitrage in dynamic trading models: the binomial and Black-Scholes models. The theory is applied to hedging and risk management.

Schedule

MFG 456 - Derivative Instruments
Schedule Listing
001 (LEC)
 In Person
33404
Open
28
 
44Enrollment Management
-
TuTh 9:00AM - 10:30AM185 EWRE

Textbooks/Other Materials

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Syllabi

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