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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.

Fall 2020 Course Outline -  Lectures , Assignments and Exams

INFORMATION:

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INFORMATION:

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INFORMATION:

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Syllabus

Syllabus Spring 2021

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Wed 6.30 - 8.45 pm

Office Hours:   Remote on-line (by Appointment)

Jan 27

 

Feb 3
 

Feb 10

Feb 17

Feb 24

Mar 3

Mar 10

Mar 17

Mar 24

Mar 31

Apr 7

Apr 14

Apr 21

Apr 28

May 5

May 12

May 19

                                     
 

Link to Text Book

Text Book
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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 #1

Powerpoint Introduction to Derivatives

Lecture #2

Options: Concepts, Strategy and Valuations

Lecture #3

Options: Concepts, Strategy and Valuations

Lecture #4

Lecture #4a (Intro to BOPM)

Options: Concepts, Strategy and Valuations

Lecture #5

Options: Concepts, Strategy and Valuations

Lecture #6

   

Lecture #7

Lecture #8

Lecture #9

Lecture #10

       
 

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

   

Equity Val using Black Scholes

Futures & Forwards

Chapter 14 PowerPoint Presentation

SWAPS

FRAs

EXAM REVIEW

EXAM REVIEW

EXAM REVIEW

 
 

EXAMS

           

MidTerm

Midterm Exam Review

Options Formula

               

Final Exam

Final Exam Review

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

Answers H#1

Homework #2:

Chapter 7 #6,9,13 

Text Book Homework #2

Answers H#2

 

Homework #3:

Homework Link #3

Answers H#3

Homework #4:


Homework #4 Link (CD Textbook Chapter 13 BOPM)

Answers #4 - Chapter 13

     

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

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

CFA BOPM

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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