This course is directed to those students who are interested in pricing theory of financial derivatives. The course starts with the first principles in financial economics, like the fundamental theorem of asset pricing and risk neutral valuation principle. The Black-Scholes-Merton framework and martingale pricing approach are introduced. Pricing models of path dependent derivatives with embedded barrier features, lookback features and Asian averaging features are presented. Pricing formulations of popularly traded structured products, like accumulators, dynamic fund protection, variable annuities with guaranteed minimum withdrawal benefits, are discussed. Students should have taken several probability and statistics courses at the undergraduate level. No prior knowledge in stochastic calculus and finance is required. Students should seek the course instructor’s approval to take this course.