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.

SHU Derivatives Syllabus Fall 2020

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Fall 2020 Course Outline - Lectures , Assignments and Exams

Wed 6.30 - 8.45 pm

CORRIGAN HALL 82

Office Hours: Remote on-line (by Appointment)

Aug 26

On-Line

Sep 2

On-Line

Sep 9

Sep 16

Sep 23

Sep 30

Oct 7

Oct 14

Oct 21

Oct 28

Nov 4

Nov 11

Nov 18

Nov 25

Dec 2

Dec 9

N

O

C

L

A

S

S

N

O

C

L

A

S

S

Link to Text Book

Text Book

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

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

Instructor's Notes:

Equity Valuations using Options approach

Chapter 8

Forwards & Futures

Chapter 11

Swaps

Chapter 12

Interest Rate Forwards and Options

and CDS

Assigned Lectures

Lecture #4a (Intro to BOPM)

MIDTERM EXAM REVIEW

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

Lecture 6a Presentation Trading Options

Advance Option Strategies

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

Lecture 6b Presentation Valuing Options

BOPM (single and 2-period) Method 2

EXAM REVIEW

Black Scholes Option Model

Equity Val using Black Scholes

Futures & Forwards

EXAM REVIEW

EXAMS

MidTerm

Options Formula

Final Exam

Options Practice Sheet with Answers

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:

Chapter 4: #8, 9, 10

Homework Link #4

Homework #5:

Homework Link #5

Homework #6:

Homework Link #6

Homework #7:

Homework Link #7

Reading Assignments

Greeks in Finance

SIFMA Insights: US Listed Options Primer

FB Option Sheet Sep 2019

Options Page on FB

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

Nike Stock Price

Nike Stock Option

Horse Racing & Options

Article on Black Scholes

Bitcoin Assume Option Valuation

WSJ Futures Prices

Yahoo Finance Futures Prices

LIBOR MARKETS Interest Rates

The Big Short Clip on CDS

Managing Negative Interest Rates

Practice Sheets

Options Practice Sheet with Answers

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