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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.

SHU Derivatives Syllabus - Fall 2019

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Fall 2019 Course Outline -  Lectures , Assignments and Exams

                                   
 

Wed 6.30 - 8.45 pm

 STAFFORD HALL 206

Office Hours:   Wednesdays 5:30-6:30pm

Aug 28

Sep 4

Sep 11

Sep 18

Sep 25

Oct 2

Oct 9

Oct 16

Oct 23

Oct 30

Nov 6

Nov 13

Nov 20

Nov 27

Dec 4

Dec 11

               

N

O

 

C

L

A

S

S

N

O

 

C

L

A

S

S

         

N

O

 

C

L

A

S

S

   
 

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


Interest Rate Forwards and Options
and CDS 

   
 

Assigned Lectures

Lecture #1

Lecture #2

Lecture #3

Lecture #4

Lecture #4a (Intro to BOPM)

Lecture #5

MIDTERM EXAM REVIEW

 

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

Equity Val using Black Scholes

Futures & Forwards

SWAPS

FRAs

EXAM REVIEW

 
 

EXAMS

         

MidTerm

Options Formula

           

Final Exam
Room: Jubilee Hall Computer Lab (Room#524) 

 

Homework Assignments

   

Homework #1

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

Answers H#1

Homework #2:

Chapter 7 #6,9,13 

Answers #2

Homework #3:

Homework Link #3

Answers H#3

Homework #4:

Chapter 4: #8, 9, 10


Answers H#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

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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