Financial Derivatives and Structured Products
The purpose of this course is to introduce students to complex derivative instruments and the techniques that are required for the valuation of these instruments. The course builds on the Black – Scholes framework and extends it to options with dividends, options with stochastic parameters and American options. It then introduces students to a variety of exotic options such as Asian, Barrier and Lookback options. The course will introduce students to the principles and tools of derivatives valuation, will familiarise them with the use of these tools, both through classes and through course work. It will also examine recent developments in the theory and practice of valuation of exotic derivative instruments and will provide students with an understanding of basic structured products.