Instructor
: Shiva Zamani ( zamani@sharif.ac.ir
)
Office phone: 66022755/6
Ext: 147
Assistant
: Shahabeddin Gharaati
Course Objective & Overview
This course covers forward contracts, futures, options, Greeks, and Exotic
Options. By the end of this course the student will have a good knowledge of how the referred contracts work, how they are used, how they are priced by binomial and Black-Scholes-Merton model, and how they could be hedged.
The assigned text for this course is:

John Hull, Options, Futures and Other Derivatives, Eight Edition,
Prentice Hall (2012)
The course packet contains the supplementary materials from the following reference:

The Website of John Hull: www.rotman.utoronto.ca/~hull

Week Date Topics
1
Saturday 29/06/93 Introduction to Forward, Futures and Options
Hull: Chapter 1
Mechanics of Futures and Forward Markets
Hull: Chapter 2
2
3
4
Saturday 5/07/93
Mechanics of Futures and Forward Markets
Hull: Chapter 2
Hedging Strategies Using Futures
Hull: Chapter 3
Saturday 12/07/93 Hedging Strategies Using Futures
Hull: Chapter 3
Saturday 19/07/93
Monday 21/07/93
Determination of Forward and Futures Prices
Hull: Chapter 5
Holiday
5
Saturday 26/07/92
Wednesday 30/07/93
Determination of Forward and Futures Prices
Hull: Chapter 5
Mechanics of Options Markets
Hull: Chapter 9
Exam1
6
7
Saturday 3/08/93
Mechanics of Options Markets
Hull: Chapter 9
Properties of Stock Options
Hull: Chapter 10
Saturday 10/08/93
Monday 12/08/93
Properties of Stock Options
Hull: Chapter 10
Holiday
8
9
10
Saturday 17/08//93 Trading Strategies Involving Options
Hull: Chapter 11
Saturday 24/08/93 Binomial Trees
Hull: Chapter 12
Saturday 1/09/93 The Black-Scholes-Merton Model
Hull: Chapter 14

11
Saturday 8/09/93
Wednesday 12/09/93
The Black-Scholes-Merton Model
Hull: Chapter 14
Options on Stock Indices and Currencies
Hull: Chapter 16
Exam 2
12
13
Saturday 15/09/93 Futures Options
Hull: Chapter 17
The Greek Letters
Hull: Chapter 18
Saturday 22/09/93
Monday 24/09/93
Holiday
The Greek Letters
Hull: Chapter 18
14
15
Saturday 29/09/93
Exotic Options
Hull: Chapter 25
Saturday 6/10/93 Practice, question and answers
Each session is capped by a lecture and discussion. The main reference book
(Hull) is meant to be studied carefully, and I would emphasize that the handouts and discussions are certainly not sufficient to complete the course.
Quizzes are taken randomly. By taking part in each quiz you will gain 60% of the mark, the other 40% is the mark for your answers.
There will be two exams before the final exam, the first one in the last week of
Mehr and the second in mid of Azar. The final exam will be held on Date .
Quiz 20%
Exam 1 20%
Exam 2 30%
Final exam 30%

With rare exceptions announced in advance, I will be available on Saturdays
11-12 . For setting an appointment, you can e-mail me ( zamani@sharif.edu
).
This course is delivered in the framework of "Official Educational Rules for
Graduate Programs in Sharif University of Technology".