FE620 Pricing and Hedging
Dan Pirjol (A,WS)
Beichen Zhang (B) - Teaching Assistant
This course is hybrid. The on-campus course will take place in a room to be communicated at a later date.
To access the course, please visit stevens.edu/canvas (http://stevens.edu/canvas) . For more information about course access or support, contact the TRAC by calling 201-380-6599 or 201-216-5500.
- The course will take place on Wednesdays 6:30-9:00pm on campus. The lecture will be broadcast on Zoom and will be recorded in Canvas for later viewing.
- Assigments will be posted on Canvas shortly after the lecture and will be due on the Friday two weeks after
I will be available via email and will respond as soon as I am available (generally within 24-48 hours).
Virtual Office Hours are a synchronous session (through Zoom) to discuss questions related to weekly readings and/or assignments. Office hours will be held Thursday from 1:00-3:00 pm EST. We can also have discussions at other times by appointment.
Your instructor and fellow students wish to foster a safe online learning environment. All opinions and experiences, no matter how different or controversial they may be perceived, must be respected in the tolerant spirit of academic discourse. You are encouraged to comment, question, or critique an idea but you are not to attack an individual. Our differences, some of which are outlined in the University's inclusion statement below, will add richness to this learning experience. Please consider that sarcasm and humor can be misconstrued in online interactions and generate unintended disruptions. Working as a community of learners, we can build a polite and respectful course ambience. Please read the Netiquette rules for this course:
- Do not dominate any discussion. Give other students the opportunity to join in the discussion.
- Do not use offensive language. Present ideas appropriately.
- Be cautious in using internet language. For example, do not capitalize all letters since this suggests shouting.
- Avoid using vernacular and/or slang language. This could possibly lead to misinterpretation.
- Keep an open mind and be willing to express even your minority opinion.
- Think and edit before you push the “Send” button.
- Do not hesitate to ask for feedback.
|Week 1 - 3 Feb||Introduction to financial markets and derivatives||Chapter 1|
|Week 2 - 10 Feb||Interest rates and bonds||Chapters 4.1-4.11||HW1 Posted
(due 26 feb)
|Week 3 - 17 Feb||Default and Credit Risk
Credit Default Swaps
|Chapters 24.1-24.5 and 25.1-25.2|
|Week 4 - 24 Feb||Swaps and FX
Interest rates and cross currency swaps
|Chapter 7||HW1 Due 26 Feb
(due 12 Mar)
|Week 5 - 3 Mar||Futures and forward||Chapters 5-6||Team Formation (Due 5 Mar)|
|Week 6 - 10 Mar||Options: General properties Put-Call parity||Chapter 10,11||HW2 Due 12 Mar
(due 26 Mar)
|Week 7 - 17 Mar||Option Pricing - Discrete time Binomial tree, risk neutral pricing||Chapter 13|
|Week 8 - 24 Mar||Option pricing - Continous time Brownion Motion, geometric BM, Black-Scholes Model||Chapter 14,15||HW4 due 9 Apr HW5 Posted (due 23 Apr)|
|Week 9 - 31 Mar||Greeks||Chapter 19,20|
|Week 10 - 7 Apr||Basic numerical procedures Trees, MC, PDEs||Chapter 21||HW4 due 9 Apr HW5 posted (due 23 Apr)|
|Week 11 - 14 Apr||Incomplete Markets||Chapter 22|
|Week 12 - 21 Apr||Perpetual Derivatives. Derivatives regulation||Chapter 37||HW5 Due 23 Apr|
|Week 13 - 28 Apr||Project Work|
|Week 14 - 5 May||Project presentations||Project due 5 May|