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This lecture discusses derivatives pricing and hedging. It introduces the Black-Scholes model for pricing options, which uses factors like the underlying asset price, strike price, volatility, time to maturity, and interest rate. The lecture also discusses how traders use delta and gamma to hedge derivatives positions in practice. More advanced multi-factor models are needed for interest rate derivatives and path-dependent options. In the second half, the lecture introduces collateralized debt obligations (
- Author
- Alexia Ho
- Language
- EN