NBA 6740

Last Updated

  • Schedule of Classes - February 6, 2017 7:14PM EST
  • Course Catalog - February 6, 2017 7:15PM EST

NBA 6740
Derivatives Securities Part II

Course information provided by the Courses of Study 2016-2017.

This course builds on the foundations established in NBA 6730 (Derivative Securities I) and focuses on options markets.  In the first part of the class, we will cover options strategies, American options, binomial option pricing, and the Black-Scholes model.  In the second part of the class, we study the information content of options markets.  We will cover the volatility surface, stochastic volatility, and the VIX Index, which is often referred to as a gauge of investor fear.  We conclude by discussing empirical evidence on the variance risk premium and its implications for investors.

When Offered Fall.

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

View Enrollment Information

Syllabi: none

  •   Seven Week - Second. 

  • 1.5 Credits Opt NoAud

  • 15559 NBA 6740   LEC 001

  • ***GM, GR and UG Srs Only*** ** S/U or Letter Grade Only - NO AUDITS ALLOWED ** Deadline to Change Grading Option: November 7th 4:00pm Add/Drop Dates: Johnson Students August 16th thru September 6th with an additional Add/Drop period beginning October 12th at 8:00am to October 18th at 4:00pm. Non-Johnson Students: October 15th at 8:00am to October 18th 4:00pm. You may add or drop a second-half class after October 18th 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 November 7th 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.

    Department Consent Required (Add)

Syllabi: none

  •   Seven Week - Second. 

  • 1.5 Credits Opt NoAud

  • 15560 NBA 6740   LEC 002

  • ***GM, GR and UG Srs Only*** ** S/U or Letter Grade Only - NO AUDITS ALLOWED ** Deadline to Change Grading Option: November 7th 4:00pm Add/Drop Dates: Johnson Students August 16th thru September 6th with an additional Add/Drop period beginning October 12th at 8:00am to October 18th at 4:00pm. Non-Johnson Students: October 15th at 8:00am to October 18th 4:00pm. You may add or drop a second-half class after October 18th 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 November 7th 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.

    Department Consent Required (Add)