Course Outline
FINA 412/4 BB Options and Futures
Finance
Winter 2024
General Information
Course Number: FINA 412/4 BB
Classroom: MB S1-435
Class Schedule: M---- (17:45 – 20:15).
Term dates: Jan. 15th to Apr. 15th
Credits: 3
Instructor: Louis Charbonneau
Office Hours: Monday (15:00 – 17:00), MB 12-282, or by appointment
Email: louis.charbonneau@concordia.ca [SUBJECT: FINA 412 ...]
Description
This course is a comprehensive analysis of the options and futures markets in North
America. The student is introduced to the different markets for these instruments and
their institutional details. The different types of options and futures currently trading
are examined. The principles of valuation of futures and options, their use in risk
management through hedging techniques and their use in speculative strategies are
studied. Emphasis is placed on the analysis of financial options and futures.
Prerequisites: FINA 380 or 385; FINA 390 or 395.
Moodle:
We will use a Moodle website to facilitate interaction. Each student should have
access to the course site through the MyConcordia portal. Any problems accessing
your Moodle websites should be directed to Help@concordia.ca.
Course Objectives
This course introduces core concepts central to options and futures in North America.
You will learn the various characteristics of the main instruments, as well as methods
of valuing them.
At the end of this course, students should be able to demonstrate a general
understanding and specific skills on the following:
•
•
General: Conceptual frameworks underlying options and futures in Canada. In
addition, students are expected to use these frameworks to (i) identify relevant
information (ii) define major from minor issues, and (iii) apply concepts to problemsolve and make recommendations.
Specifics: Clearing and settlement; Option valuation; Futures valuation; Swaps
valuation.
Material
(Required) Fundamentals of Options, Futures, and Other Derivatives, 9th Edition,
John C. Hull
Calculator:
A financial calculator is recommended for the final exam. I would suggest the Texas
Instruments BAII+ as you may use this model for CFA exams, should you undertake
that program.
FINA 412 – Options and Futures – Winter 2024
Schedule (may be subject to change)
Please note that this schedule may be subject to change. To ensure that you are well
prepared for each class, I recommend that you always read one chapter ahead and
have the slides not only for the current class listed but also for the following class.
Date
Book chapter
Week 1 (Jan. 15)
Introduction to Derivatives. Bonds. (chaps. 1,4)
Week 2 (Jan. 22)
Mechanics of Options Markets (chap. 9)
Properties of Stock Options (chap. 10)
Week 3 (Jan. 29)
Trading Strategies using Options (chap. 11)
Week 4 (Feb. 5)
Introduction to Binomial Trees (chap. 12)
Week 5 (Feb. 12)
Black-Scholes-Merton Model (chap. 13)
Week 6 (Feb. 19)
Midterm
Feb. 26
Midterm break
Week 7 (Mar. 4)
Options on Stock Indices, Futures and Currencies (chap.
15)
Week 8 (Mar. 11)
The Greek Letters (chap. 17)
FINA 412 – Options and Futures – Winter 2024
Week 9 (Mar. 18)
Pricing American Options (chap. 18)
Week 10 (Mar. 25)
Assignment due
Futures and Forward Contracts (chap.
2)
Hedging Strategies
(chap. 3)
Apr. 1: University Closed
Using
Futures
Week 11 (Apr. 8)
Pricing Forward and Future Contracts
(chap. 5)
Week 12 (Apr. 15)
Swaps (chap. 7)
Behaviour
All individuals participating in courses are expected to be professional and
constructive throughout the course, including in their communications.
Concordia students are subject to the Code of Rights and Responsibilities, which
applies both when students are physically and virtually engaged in any University
activity, including classes, seminars, meetings, etc.
Students engaged in University activities must respect this Code when engaging with
any members of the Concordia community, including faculty, staff, and students,
whether such interactions are verbal or in writing, face to face or online/virtual. Failing
to comply with the Code may result in charges and sanctions, as outlined in the Code.
IP
Content belonging to instructors shared in online courses, including, but not limited to,
online lectures, course notes, and video recordings of classes remain the intellectual
property of the faculty member.
It may not be distributed, published or broadcast, in whole or in part, without the
express permission of the faculty member. Students are also forbidden to use their
own means of recording any elements of an online class or lecture without express
permission of the instructor. Any unauthorized sharing of course content may
constitute a breach of the Academic Code of Conduct and/or Code of Rights and
Responsibilities. As specified in the Policy on Intellectual Property, the University does
not claim any ownership of or interest in any student IP. All university members retain
copyright over their work.
FINA 412 – Options and Futures – Winter 2024
Extraordinary Circumstances
In the event of extraordinary circumstances and pursuant to the Academic
Regulations, the University may modify the delivery, content, structure, forum, location
and/or evaluation scheme. In the event of such extraordinary circumstances, students
will be informed of the changes.
Grading
Evaluation
The final grade for the course will be based on the following components:
Midterm exam (2 hours, Feb 19, in class)
40%
Assignment (due Mar. 25th)
10%
Final exam (3 hours)
Date TBA
Total
50%
100%
The midterm (closed book) will be composed of multiple-choice questions on the
book. No cheat sheet is allowed, no formula is supplied. The grade of zero will be
given to any student who does not write the midterm, unless a serious and verifiable
excuse if given to the professor in the briefest delays.
The final exam (closed book) will be composed of multiple-choice questions on the
book. No cheat sheet is allowed, no formula is supplied. The emphasis will be on the
later chapters (post quiz 2), but there will be a few questions on the earlier chapters.
Any student who does not write the final exam will fail the class and will have the
mention “DNW” (Did Not Write) on his/her grade report. To arrange for a re-write, the
student must communicate with the exams office.
A standard financial or scientific calculator is allowed, as well as a language dictionary
(if necessary).
Regardless of the total grade, a student who does not write the final exam
automatically fails the class.
Please advise me early in the term if you are taking religious holidays.
Historically, the average GPA for this course has been 2.68.
FINA 412 – Options and Futures – Winter 2024
Ethical Behaviour
Plagiarism: The most common offense under the Academic Code of Conduct is
plagiarism, which the Code defines as “the presentation of the work of another person
as one’s own or without proper acknowledgement.”
This includes material copied word for word from books, journals, Internet sites,
professor’s course notes, etc. It refers to material that is paraphrased but closely
resembles the original source. It also includes for example the work of a fellow
student, an answer on a quiz, data for a lab report, a paper or assignment completed
by another student. It might be a paper purchased from any source. Plagiarism does
not refer to words alone –it can refer to copying images, graphs, tables and ideas.
“Presentation” is not limited to written work. It includes oral presentations, computer
assignments and artistic works.
Finally, if you translate the work of another person into any other language and do not
cite the source, this is also plagiarism.
In Simple Words: Do not copy, paraphrase or translate anything from anywhere
without saying where you obtained it. (Source: The Academic Integrity Website:
concordia.ca/students/academic-integrity)
Sexual violence, including sexual harassment and sexual assault, is not tolerated at
Concordia. Please see Concordia’s policy on sexual violence for more information
about awareness and prevention, support for survivors/ victims, responding to
disclosures and procedures for reports and complaints. You can also contact the
Sexual Assault Resource Centre for information and support. More information and
support
are
available
at
the
Sexual
Assault
Resource
Centre
concordia.ca/students/sexual-assault, by email sarc@concordia.ca or phone 514 8482424 x 3353
Feedback and Grading
At the end of each course, the instructor will submit a letter grade for every student
registered. Using the grade point equivalents listed below, Grade Point Averages
(GPA) are calculated for the evaluation of academic achievement, Honours standing,
prizes, and academic standing.
A+
90-100%
B+
77-79%
C+
6769%
D+
5759%
A
85-89%
B
73-76%
C
6366%
D
5356%
A-
80-84%
B-
70-72%
C-
6062%
D-
50-52
FINA 412 – Options and Futures – Winter 2024
Use of Third-Party Software & Websites
If you are using third-party software and/or web site, see the guidelines and include a
statement. Information and standard wording found at:
www.concordia.ca/offices/ctl/concordia-university-educational-technology-guidelinesfor-faculty-and-students.html
Useful Links
1. Department’s Academic Advisor:
concordia.ca/students/registration/advising/johnmolson-advising.html
2. Counselling and Psychological Services:
concordia.ca/students/counselling-life-skills
3. Concordia Library Citation and Style Guides:
library.concordia.ca/help/howto/citations
4. Student Success Centre: concordia.ca/students/success
5. Health Services: concordia.ca/students/health
6. Financial Aid and Awards: concordia.ca/offices/faao
7. HOJO (Off Campus Housing and Job Bank): csu.qc.ca/hojo
8. Academic Integrity: concordia.ca/students/academic-integrity
9. Access Centre for Students with Disabilities: concordia.ca/offices/acsd
10. CSU Advocacy Centre: csu.qc.ca/advocacy
11. Dean of Students Office: concordia.ca/offices/dean-students
12. International Students Office: concordia.ca/students/international
13. Student Hub: concordia.ca/students
FINA 412 – Options and Futures – Winter 2024