Table of Contents

Introduction

• 1. Derivatives Contracts

Futures and Forwards

• 2. Interest Rates
• 3. Futures and Forward Contracts
• 4. Futures and Forward Pricing

Option Pricing in Discrete-Time

• 5. Characteristics of Options Markets
• 6. Options Strategies
• 7. Properties of European Options
• 8. Binomial Pricing
• 9. The Impact of Dividends
• 10. American Options

Option Pricing in Continuous-Time

• 11. Statistics Preliminaries
• 12. Modeling Stock Prices in Continuous-Time
• 13. The Black-Scholes Model
• 14. Options on Indices and Currencies
• 15. Options on Futures
• 16. The Greeks
• 17. Exotic Options

Appendix

• 18. Notation
• 19. Slides
• 20. Mathematics Review
• 21. Differential Equations in Finance

Important

This notes are under active development and subject to change.