NBA 6740

Derivatives Securities Part II

Course Description

Course information provided by the 2026-2027 Catalog.

This course is the sequel to NBA-6730 (Derivative Securities I). It is an introduction to the models used in industry to price and hedge derivatives. If focuses on the multiperiod binomial and the Black-Scholes-Merton models. Essential in the application of these models to practice is an understanding of the models' assumptions and how the model's implications change if the assumptions are violated. Consequently, the two goals of this course are to understand: (1) if the assumptions underlying the models hold, how to apply these models in practice, and (2) if the assumptions don't hold, what are the models' generalizations. The course is quantitative in nature, and it requires the use of algebra, some basic calculus, and simple probability theory.

Prerequisites NCC 5060 or NCC 5560 or AEM 5241 or HADM 7230 or equivalent, or permission of the instructor.

Last 4 Terms Offered 2026SP, 2024FA, 2023FA, 2022FA

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