Component
Weighting
Team/Individual
1. Final Examination
50%
Individual
2. Midterm Examination
30%
Individual
3. Class participation
10%
Individual
4. presentation
10%
Group
Week
1
2
Topic
Readings/ Activities
Introduction to Financial Markets and Derivatives Chapter 1
Mechanics of Futures Markets
Chapters 2 and 3
3
Hedging Strategies Using Futures
Interest Rates
Chapters 4 and 5
4
Determination of Forward and Futures Prices
Interest Rate Futures
Chapter 6
5
Swaps
Chapter 7
6
Securitization and the Credit Crisis of 2007
Chapters 8 and 9
Mechanics of Options Markets
Midterm Quiz
7
Recess
8
Properties of Stock Options
Chapters 10 and 11
9
Trading Strategies Involving Options
Option Pricing: Binomial Tree Models
Chapter 12 and 13
10
Option Pricing: The Black-Scholes-Merton Model
Option Greeks and Dynamic Hedging
Chapter 17
11
12
13
Value at Risk, and analytical VaR
Presentation
Review
Chapter 20
Dynamic Hedging
Textbook
John C. Hull. Fundamentals of Futures and Options Markets, Global Edition, 8th Edition, or 9th
Edition.