Derivatives Markets: Advanced Modeling and Strategies
Develop a sophisticated understanding of financial derivatives; valuation methods; tools for quantifying, hedging, and speculating on risk; and a basic familiarity with major markets and instruments.
Course Information
Certificate Track
Learn for Free
About this Course
Financial derivatives are ubiquitous in global capital markets, and those products and the institutions around them continue to evolve at a rapid pace. This course is part of the MicroMasters® Program in Finance, and is designed for learners seeking to develop a sophisticated and durable understanding of valuation and hedging methods, and a basic familiarity with major markets and instruments. Tools for quantifying, hedging, and speculating on risk are emphasized.
Topics include forwards, futures and options in the stock, fixed income and commodity markets, exotic options, real options, interest rate and currency swaps, mortgages, credit risk, securitization, the yield curve, duration and convexity.
The knowledge and skills acquired are essential for any well-trained financial practitioner. They will be most useful for those planning a career in sales and trading, portfolio management, commercial banking, investment banking, insurance, as a hedge fund manager, or as an analyst or manager in a public sector financial institution, central bank, or financial regulatory agency. Corporate financial managers, as consumers of complex financial products and hedging instruments, will also benefit from this knowledge. The course is excellent preparation for anyone planning to take the CFA exams.
What you'll learn
- Advanced derivatives pricing approaches adaptable to valuing new products
- The many ways to shape risk exposure with derivatives
- Important facts about the world’s largest financial markets
Prerequisites
15.415.1x Foundations of Modern Finance I
15.415.2x Foundations of Modern Finance II
Calculus
Basic programming skills
Meet your instructors
Deborah Lucas
Sloan Distinguished Professor of Finance
Deborah Lucas is the Sloan Distinguished Professor of Finance at MIT’s Sloan School of Management, and the Director of the MIT Golub Center for Finance and Policy.
Her recent research has focused on measuring and accounting for the costs and risks of government financial obligations. Her academic publications cover a wide range of topics including the effect of idiosyncratic risk on asset prices and portfolio choice, dynamic models of corporate finance, financial institutions, monetary economics, and valuation of government guarantees. An expert on federal credit programs, Lucas has testified before Congress on budgeting for Fannie Mae and Freddie Mac, student loans, and on strategically important financial institutions.
Previous appointments include assistant and associate director at the Congressional Budget Office; Donald C. Clark Professor of Finance at Northwestern University’s Kellogg School of Management; chief economist at the Congressional Budget Office; senior economist at the Council of Economic Advisers; and member of two Social Security Technical Advisory Panels. Lucas also has served as a director on several corporate and non-profit boards.
She is on the editorial board of the Annual Review of Financial Economics , a coeditor of AEA-Policy , and a co-organizer of the group Capital Markets and the Economy at the NBER. Lucas is an elected member of the National Academy of Social Insurance, a research associate of the NBER, a member of the Advisory Roundtable of the Federal Reserve Bank of New York, a member of the Federal Economic Statistics Advisory Committee, a member of the Shadow Open Market Committee, and a member of the Academic Research Council for the Urban Institute Housing Finance Policy Center.
Lucas received her BA, MA, and a PhD in economics, all from the University of Chicago.
Current Research Focus: Lucas's current research lies at the intersection of finance and policy, with a focus on economically meaningful cost measurement of government financial activities. Some current projects include measuring the capital subsidies to state-owned enterprises, analyzing the risk-sharing potential of collective defined contribution plans, creating a world atlas of government financial institutions, measuring the subsidies and risks associated with development banks, and analyzing reverse mortgages.
