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Baruch Continuing And Professional Studies (CAPS) - Derivatives

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Fall 2019 Course Outline -  Lectures , Assignments and Exams

Financial derivatives, whose valuation depends on a risk factor, will be defined, explored, and valued in this predominantly quantitative course. Binomial and Black Scholes models will be reviewed and applied to different scenarios. You will also learn hedging strategies effective in mitigating risk in this ever-changing market.

Syllabus Summer 2020

Contact the Professor at: christakis.droussiotis@baruch.cuny.edu

Students that want to drop their files for the Professor please use the inbox below. Please note that you need to write your name inside the body of the file and then upload it on dropbox.

Professor's INBOX - CAPS

ONLINE with the Professor via Zoom - Baruch CAPS (not Baruch College)

Wendesdays

12:00pm - 2:45pm (NYT)

May20

May 27 


June 3

June 10

June 17

June 24

July 1

July 8

July 15

  July 22

                     

Link to Text Book

Text Book
SHU_text_book.jpg

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 Strategy

Chapter 3 

Principal of Option Pricing
 
 Intro to Binomial Pricing Model - Method #1

Chapter 4 

Option Pricing Models:

The Binomial Model -  Single and Multi-stage Approach

 

 

Chapter 5 

Option Pricing Models:

The Black-Scholes-Merton Model 

Chapter        8 

Forwards & Futures 

Chapter    11 

Swaps

 

Assigned Chapters

text_book_cover.jpg

Link to Purchase

 

13
p 213-224

13
p 224-230

13
p 231-236 & 244

   

13
p 236-243

14
p 245-254

14
p 261-264

 

Assigned Lectures

Lecture #1

Powerpoint Introduction to Derivatives

Lecture #2

Options - Powerpoint Presentation

Lecture #3

Lecture #4

Lecture #4a (Intro to BOPM)

Lecture #5

MIDTERM EXAM REVIEW

 

ZOOM ON-LINE

Lecture #6

Lecture #7

Futures & Forwards Powerpoint

Recording Lecture

Swaps - PowerPoint Presentation

EXAM REVIEW

Lecture #8

 

Lectures on YouTube

 

Introductions to Options and Basic Strategies

Lecture on Zoom Recording 10-15-2019

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

Option Spreads

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

BOPM (single and 2-period) Method 2

 

Black Scholes Option Model

Futures & Forwards

SWAPS

 

EXAMS

         

Mid-Term Exam


Options Formula

     

Final Exam

Options Formula

Homework Assignments

     

Homework #1:

Chapter 6 #10, 12, 13 (no graph for 13)

Text Book Homework #1

Homework #2:

Chapter 7 #6,9,13 

Text Book Homework #2

 

Homework #3:

Homework Link #3

 

Homework #4:

Homework Link #4

   

Reading Assignments

Greeks in Finance

FB Option Sheet Sep 2019

Options Page on FB

SIFMA Insights: US Listed Options Primer

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

Horse Racing & Options

CFA BOPM

Hedging on Corona Virus Analysis

S&P500 EDF (SPY) Current Price

Using Options to hedge against Coronavirus

Cummulative Normal Distribution Table

Article on Black Scholes

WSJ Futures Prices

Yahoo Finance Futures Prices

The Big Short Clip on CDS

 

Practice Sheets

 

Options Practice Sheet with Answers

               

#11 & #12
Futures & FX/Interest Swaps (Lecture from SHU)

Lecture #11

Lecture #12

Futures & Forwards

SWAPS

WSJ (6/1/2015): Weather Forecast Dampens Wheat Prices