Futures and Related Derivatives
Autumn Quarter
Instructor: Eric Patterson
Syllabus
This course will serve as an introduction to futures and related derivatives by providing a survey of models and tools that are useful to a quantitative analyst working with these products. In addition to covering the structures of various futures markets, the course will emphasize options on futures and methods for measuring volatility. These markets have a variety of quantitative problems, so the course will cover a broad selection of useful tools from linear algebra, stochastic processes, Monte Carlo methods, and machine learning with an emphasis on how to apply these methods in Python.
This course counts towards the Options and Derivatives concentration.