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15.4371 Options and Futures Markets

Prereq: 15.417
U (Fall)
9 Units

Examines the economic role of options and futures markets. Topics include determinants of forward and futures prices, hedging and synthetic asset creation with futures, uses of options in investment strategies, relation between puts and calls, option valuation using binomial trees and Monte Carlo simulation, implied binomial trees, advanced hedging techniques, exotic options, and applications to corporate securities and other financial instruments. Meets with 15.437 when offered concurrently. Expectations and evaluation criteria differ for students taking graduate version; consult syllabus or instructor for specific details.

J. C. Cox

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Credit cannot also be received for 15.437