NBA 6740

NBA 6740

Course information provided by the Courses of Study 2015-2016.

This course is a continuation of NBA 6730 (Derivatives Securities I). First, we will further dig into options by discussing no-arbitrage bounds in option prices, American options, option trading strategies, implied volatilities, dynamic replications, and risk management through options. Second, we will explore corporate securities such as common equity, warrants, callable bond, puttable bond, and convertible bond. Finally, we will discuss credit risk and credit derivatives such as credit default swaps (CDS). We use real-world cases to illustrate important applications of derivatives. At the end of the course, you should have a good understanding of risk-neutral pricing that is fundamental to all derivative securities.

When Offered Fall.

Prerequisites/Corequisites Prerequisite: NCC 5060 or permission of instructor.

View Enrollment Information

Enrollment Information
Syllabi: none
  •   Seven Week - Second. 

  • 1.5 Credits GradeNoAud

  • 15918NBA 6740  LEC 001

  •  
  • ***GM, GRAD and UG SRS/JRS ONLY***. Add/Drop Dates: Johnson Students August 10th thru September 8th with an additional Add/Drop period beginning October 14th at 8:00am to October 20th at 4:00pm. Non-Johnson Students: October 19th at 8:00am to October 20th 4:00pm. You may add or drop a second-half class after October 20th with permission of the faculty. A late fee of $100.00 will be charged for each add or drop transaction. If you are dropping after October 27th you will also receive a "W" on your transcript in addition to the late fees. Non-Johnson students may add themselves to the waitlists during the enrollment periods, however Johnson Students have priority into the classes and non-Johnsons will be enrolled: 1) IF seats are still available after Johnson students complete their enrollment period and 2) IF the instructor allows. Non-Johnson students must see their college registrar regarding policies connected with adding/dropping a second half Johnson School class. A petition may be required. Monday, November 23rd Make up Class will be held in Sage Hall Room B08

Enrollment Information
Syllabi: none
  •   Seven Week - Second. 

  • 1.5 Credits GradeNoAud

  • 15919NBA 6740  LEC 002

  •  
  • ***GM, GRAD and UG SRS/JRS ONLY***. Add/Drop Dates: Johnson Students August 10th thru September 8th with an additional Add/Drop period beginning October 14th at 8:00am to October 20th at 4:00pm. Non-Johnson Students: October 19th at 8:00am to October 20th 4:00pm. You may add or drop a second-half class after October 20th with permission of the faculty. A late fee of $100.00 will be charged for each add or drop transaction. If you are dropping after October 27th you will also receive a "W" on your transcript in addition to the late fees. Non-Johnson students may add themselves to the waitlists during the enrollment periods, however Johnson Students have priority into the classes and non-Johnsons will be enrolled: 1) IF seats are still available after Johnson students complete their enrollment period and 2) IF the instructor allows. Non-Johnson students must see their college registrar regarding policies connected with adding/dropping a second half Johnson School class. A petition may be required. Monday, November 23rd Make up Class will be held in Sage Hall Room B01