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Seton Hall - Derivatives
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Baruch FIN 9783
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SHU BFIN 3211 Financial Strategy
SHU BFIN 4250 Fixed Income
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Baruch FIN 3710
Baruch Exec. MS FIN 9793 Jan 2022
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Baruch CAPS - International Accountancy
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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

INFORMATION:

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INFORMATION:

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INFORMATION:

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Syllabus

Syllabus Fall 2021

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Wed 6.30 - 8.45 pm

Muscarelle Hall 111

 

Office Hours:  3:00pm-5:00pm JH Room 691

Sep 1 

Sep 8
 

Sep 15

Sep 22

Sep 29

Oct 6

Oct 13

Oct 20

Oct 27

Nov 3

Nov 10

Nov 17

Nov 24

Dec 1

Dec 8

Dec 15

                                   
 

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 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


Credit Swaps, TRS
and CDS 

N

O

 

C

L

A

S

S

Chapter 12


Interest Rate Forwards & FRAs
 

   
 

Assigned Lectures

Lecture #1

Powerpoint Introduction to Derivatives

Lecture #2

Options: Concepts, Strategy and Valuations

Lecture #3

Options: Concepts, Strategy and Valuations

Lecture #4

Options: Concepts, Strategy and Valuations

Lecture #5

Options: Concepts, Strategy and Valuations

Lecture #6

Options: Concepts, Strategy and Valuations

     

Lecture #7

Futures, Forwards and Swaps Powerpoint

Lecture #8

Futures, Forwards and Swaps Powerpoint

Lecture #9

Futures, Forwards and Swaps Powerpoint

Lecture #10

Futures, Forwards and Swaps Powerpoint

   
 

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

Advance Option Strategies

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

BOPM (single and 2-period) Method 2

Black Scholes Option Model

EXAM REVIEW

Midterm Exam Review

Options Formula

Options Practice Sheet with Answers

 

Equity Val using Black Scholes

Futures & Forwards

SWAPS

 

FRAs

EXAM REVIEW

 
 

EXAMS

             

MidTerm

           

Final Exam

Final Exam Review

Zoom Recording 5/5

Question 8 Exam

Options Practice Sheet with Answers

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 #4 Link (CD Textbook Chapter 13 BOPM)

     

Homework #5:

Homework Link #5

Homework #6:

Homework Link #6

Homework #7:

Homework Link #7

   
 

Reading Assignments

ARTICLE: GameStop's Gargantuan Gamma Squeeze

GameStop Charts

Greeks in Finance

SIFMA Insights: US Listed Options Primer

 

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

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

Nike Stock Price

Nike Stock Option

Horse Racing & Options

CFA BOPM

Article on Black Scholes

Bitcoin Assume Option Valuation

       

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

Trading and valuing Options

 

The Greeks in Options Explain

       

Chapter 14 Futures and Forwards

         
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