NBA 6740

NBA 6740

Course information provided by the Courses of Study 2018-2019. Courses of Study 2019-2020 is scheduled to publish mid-June.

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

Enrollment Information
Syllabi: none
  •   Seven Week - Second. 

  • 1.5 Credits Opt NoAud

  • 14932NBA 6740  LEC 001

    • TR
    • Oct 16 - Dec 5, 2019
    • Corum, A

  • ***GM, GR and UG Srs/Jrs Only*** ** S/U or Letter Grade Only - NO AUDITS ALLOWED ** Deadline to Change Grading Option: November 18, 2019 @4pm Add/Drop Dates: August 20th at 8:00am thru September 12th at 4:00pm with an additional Add/Drop period beginning October 16th at 8:00am thru October 23rd at 4:00pm. You may add or drop a second-half class after October 23rd 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 18th 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. There will be no enrollment from a wait list into a class if you have a time conflict or will put you over your maximum allowed credits. 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.

Enrollment Information
Syllabi: none
  •   Seven Week - Second. 

  • 1.5 Credits Opt NoAud

  • 14933NBA 6740  LEC 002

    • TR
    • Oct 16 - Dec 5, 2019
    • Corum, A

  • ***GM, GR and UG Srs/Jrs Only*** ** S/U or Letter Grade Only - NO AUDITS ALLOWED ** Deadline to Change Grading Option: November 18, 2019 @4pm Add/Drop Dates: August 20th at 8:00am thru September 12th at 4:00pm with an additional Add/Drop period beginning October 16th at 8:00am thru October 23rd at 4:00pm. You may add or drop a second-half class after October 23rd 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 18th 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. There will be no enrollment from a wait list into a class if you have a time conflict or will put you over your maximum allowed credits. 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.