SHU BFIN 4234 BFIN 7331 - Options, Futures, Derivatives

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SHU BFIN 4234 BFIN 7331 - Options, Futures, Derivatives

The course is designed to introduce theoretical and practical applications of financial futures, options and other derivatives such Swaps, Swaptions and FRAs. Over the last 30 plus years, with the expansion of hedge funds, the markets for these asset classes have grown enormously and has generated innovative techniques for hedging, speculating or arbitraging investments. Derivatives have become one of the most important tools of modern finance. We will examine the institutional aspects of futures, options and swap markets and provide an analytical foundation for the pricing these instruments. The subject matter requires relatively greater use of quantitative methods including the binomial option pricing model as well as the classic model of Black-Scholes-Merton.

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Course Outline - Lectures , Assignments and Exams

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Syllabus

Syllabus Spring 2023

Professor's Inbox
(upload info for Professor)

Professor's Inbox

Processor's Email

droussch@shu.edu

Office Hours
In person

TUESDAYS 3.30-5:00PM
JH ROOM# 691

Microsoft Team
(Office Hours)
g office hoursine zoom call

TEAMS LINK (Sign-in)

Class Info/time

Thursdays 6.30-9:00pm
CH 69

Professor's Biography

Professor's Biography

Office Hours/Remote
(9:00-5pm)

Make an Appointment Link

THURSDAYS

6:30-9:00PM

SH 109

Jan 19

Jan 26

Feb 2

Feb 9

Feb 16

Feb 23

Mar 2

Mar 9

Mar 16

Online Exam

Mar 23

Mar 30

Apr 6

Apr 13

Apr 20

Apr 27

Pre-recorded Zoom Session

May 4

May 11

On-Line

OPTION STRATEGIES AND VALUATION

FUTURES, FORWARDS, SWAPS, CDS AND FRA's

EQUITY

VALUATION

REVIEW AND FINAL EXAM

Link to Text Book

Image result for Introduction to Derivatives and Risk Management 10th Edition

Introduction to Derivatives and Risk Management 10th Edition

ISBN-13: 9781305104969

Authors: Don M. Chance; Roberts Brooks

Publisher: Cengage Learning

Chapter 1, 2

Introduction & Structure of Derivatives Markets

Chapter 6

Basic Option Strategies

Chapter 7

Advanced Option Strategies

Chapter 3-4

Principal of Option Pricing

Intro to Binomial Pricing Model - Method #1

Chapter 4

Option Pricing Models:

The Binomial Model - Single and Multi-stage Approach

Option Pricing Models:

The Black-Scholes-Merton Model

Chapter 5

Option Pricing Models:

The Black-Scholes-Merton Model

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MIDTERM EXAM RESULTS REVIEW

Chapter 8

Forwards & Futures

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Chapters 11 & 12

Credit Swaps, TRS

and CDS

Interest Rate Forwards & FRAs

Instructor's Notes:

Equity Valuations using Options approach

Pre-Recorded Exam Review via Zoom

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Assigned Lectures

Powerpoint Introduction to Derivatives

Options: Concepts, Strategy and Valuations

Options: Concepts, Strategy and Valuations

Options: Concepts, Strategy and Valuations

Options: Concepts, Strategy and Valuations

Futures, Forwards & Swaps

Futures, Forwards & Swaps

Valuation of start-up businesses using Black-Scholes Options Pricing Model

Final Exam Review

Zoom Recordings

Equity Val using Black Scholes

SaaS IP Case Study - OPM Valuation

Zoom Link - Exam Review December 8

Lecture on YouTube

Introductions to Options and Basic Strategies

JD.com Call Option

JD.com Options - Yahoo Finance

Nike - Bear Put Spread

Nike Options - Yahoo Finance

Introduction to Option Valuation

One-Period BOPM (Leverage & Probability Method) Call Option 1/3

Two-Period BOPM - Call Option 2/3

Two-Stage BOPM - Put Option 3/3

Interest Rate Swaps - The Basics 1/3

Interest Rate Swaps and benefits 2/3

Simple Interest Rate Swaps 3/3

Currency Swaps & CDS

Assigned Spreadsheets

Basic Option Strategies

Excel Template: Options: Concepts, Strategy and Valuations

Advance Option Strategies

Bionomial Option Pricing Model Method 1 (6-step Method)

BOPM (single and 2-period) Method 2

Black Scholes Option Model

Options Formula

Options Practice Sheet with Answers

EXAM REVIEW

Midterm Exam Review

TEAMS LINK of the exam review

Futures & Forwards

Chapter 14 - Futures, Forwards & Swaps

EXAMS

MidTerm

Final Exam

Question 8 Take Home Exam - Bonus Points

Question 8 Template

Final Exam Review

Midterm_Exam_Questions_1_2

Options Practice Sheet with Answers

Options Formula

Homework Assignments

Homework #1

Complete Chapter 6 #10, 12 and 13 (no need to graph)

Terminology: Write = Sell

Text Book Homework #1

Homework #2:

Chapter 7 #6,9,13

Text Book Homework #2

Homework #3:

Homework Link #3

Homework #4:

Homework #4 Link (CD Textbook Chapter 13 BOPM)

Answers #4 - Chapter 13

Homework #5:

Homework #6:

Homework #7:

Reading Assignments

textbookfirsteditionV2.jpeg.jpg

An Analytical Approach to Investments Finance & Credit (1st Edition)

C.Droussiotis, Cognella Publishing

To Purchase Textbook

ARTICLE: GameStop's Gargantuan Gamma Squeeze

GameStop Charts

Greeks in Finance

SIFMA Insights: US Listed Options Primer

Trading and valuing Options

YouTube Link: DVDA Uncovered Put

YouTube Link: Bull Call Spread on Regeneron

Article on Black Scholes

Bitcoin Option Calc Using Black Scholes

Horse Racing & Options

WSJ Futures Prices

Yahoo Finance Futures Prices

Total Return Swap gone wrong - Article

The Big Short Clip on CDS

LIBOR MARKETS Interest Rates

Managing Negative Interest Rates

Practice Sheets

Options Practice Sheet with Answers

The Greeks in Options Explain

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