Seton Hall - Derivatives

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Seton Hall - 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.

Course Outline - Lectures , Assignments and Exams

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Syllabus

Syllabus Fall 2022

Professor's Inbox
(upload info for Professor)

Professor's Inbox

Processor's Email

droussch@shu.edu

Office Hours
In person

THURSDAYS 9.00-10.30PM
JH ROOM# 691

Microsoft Team
(Office Hours)
g office hoursine zoom call

Microsoft Teams (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

Sep 1

Sep 8

Sep 15

Sep 22

Sep 29

Oct 6

Oct 13

Review of Exam via zoom

Oct 20

Online Exam via Zoom

Oct 27

Nov 3

Nov 10

Nov 17

Nov 24

Dec 1

Dec 8

Via Zoom

Dec 15

OPTION STRATEGIES AND VALUATION

FUTURES, FORWARDS, SWAPS, CDS AND FRA's

EQUITY

VALUATION

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

MIDTERM EXAM RESULTS REVIEW

Chapter 8

Forwards & Futures

Chapters 11

Credit Swaps, TRS

and CDS

Chapters 12

Interest Rate Forwards & FRAs

N

O

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L

A

S

S

Instructor's Notes:

Equity Valuations using Options approach

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

LIVE VIA ZOOM - EXAM REVIEW

Final Exam Review

Zoom Recordings

EXAM REVIEW ZOOM RECORDING

Zoom Recording 11/10 - SWAPS

Zoom Recording Link 11/17 - CSD, CDO, CLO, FRA

Equity Val using Black Scholes

SaaS IP Case Study - OPM Valuation

Lecture on YouTube

Introductions to Options and Basic Strategies

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

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

Answers #3 - Chapter 13

Homework #4:

Homework #4 Link (CD Textbook Chapter 13 BOPM)

Homework #5:

Homework #5 - Futures - Answers

Homework #6:

Homework #6 - SWAPS - Answers

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

WSJ: FB says Apple's Privacy Changes Hurt Digital Ad Measurement

CNBC Option Segment on FB's sadden drop in stock

Options Page on FB

FB PUT Option Spreadsheet

Article on Black Scholes

Bitcoin Assume Option Valuation

Horse Racing & Options

You Tube Clip on Nike Calender Spread Strategy ahead of Earnings in September 2019

Nike Stock Price

Nike Stock Option

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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