TROY UNIVERSITY
MASTER SYLLABUS
SORRELL COLLEGE OF BUSINESS
FIN 4419
Derivatives
Prerequisites
FIN 3331.
Description
This course examines the theory and usage of forward contracts, futures contracts, index futures,
Markov and Wiener processes, Black Scholes analysis, options, indexed options, and hedging
using naked and covered positions, and other non-standard derivative securities. Prerequisite:
FIN 3331.
Objectives
On completion of the course, the student should be able to:
1. Explain the mechanics of futures markets, and apply the mathematics of forward and
futures prices.
2. Compute and discuss hedging strategies using futures.
3. Analyze interest rate markets and swaps.
4. Explain the mechanics of options markets.
5. Analyze the Black-Scholes option pricing models and binomial models.
6. Discuss volatility smiles and “Greek” letters.
7. Discuss VaR measures, and apply the two main approaches for calculating them.
8. Discuss credit, weather, energy, and insurance derivatives.
9. Analyze options on stock indices, currencies, and futures.
Purpose
To provide a survey of derivative concepts needed in the undergraduate finance program.
BABA/BSBA Finance major specified elective.
Approved Texts
Hull, J. C. (2005 or current). Fundamentals of futures and options markets. Upper Saddle River,
NJ: Prentice Hall. [Use with Strong supplement.]
Master Syllabi are developed by the senior faculty in each business discipline. This Master Syllabus must be used as the basis for developing the
instructor syllabus for this course, which must also comply with the content specifications outlined in the Troy University Faculty Handbook.
The objectives included on this Master Syllabus must be included among the objectives on the instructor’s syllabus, which may expand upon the
same as the instructor sees fit. The statement of purpose seeks to position the course properly within the curriculum and should be consulted by
faculty as a source of advisement guidance. Specific choice of text and other details are further subject to Program Coordinator guidance.
1 August 2005
Master Syllabus: FIN 4419
2
Supplements
Strong, R. A. (2005 or current). Derivatives: An introduction (2nd ed.). Mason, OH:
Thomson/South-Western.
Troy University Faculty Handbook (2010): Section 3.9.2.8 [extract] — essential elements of the syllabus (somewhat modified for space):
1. Course title
8. Classroom
2. Course number +
location
section
9. Office location +
3. Term
e-mail address
4. Instructor
10. Office telephone
5. Prerequisites
11. Course
6. Office hours
description,
7. Class days, times
objectives
12. Text(s)
13. Other materials
14. Grading methods, 16. General supports
criterion weights,
(computer works,
make-up policy,
writing center)
mid-term grade
17. Daily assignments,
reports
holidays, add/drop
15. Procedure, course
& open dates,
requirements
dead day, final
exam
18. ADA statement
23. Cheating policy
19. Electronic device 24. Specialization
statement
requirements
20. Additional
(certification,
services,
licensure, teacher
statements
competencies)
21. Absence policy
22. Incomplete-work
policy