Options, Futures, and Other Derivatives [4841]


Options, Futures, and Other Derivatives provides students with an understanding of how derivative products work, how they are traded, how they are used, and how they are valued. It covers forwards, futures, swaps and options. It explains both exchange-traded and over-the-counter markets. It covers both the binomial tree and Black-Scholes -Merton valuation models and discusses how financial institutions use “Greek letters” such as delta and gamma. Students will use the widely acclaimed DerivaGem software developed by the instructor and his colleagues.


Course Summary
  • Instructor:Dr. John Hull, University of Toronto
  • Start Date: Monday, June 03 2013
  • Duration: 7 weeks
  • Difficulty: Introductory

By the end of the course students will understand the nature of derivative products. They will have a good knowledge of how derivatives are used, how they are priced, and how financial institutions hedge their risks when they trade these products. They will be introduced to derivatives software developed by the instructor and his colleagues and will be in a position to develop their own software if they have the necessary skills and wish to do so. Key concepts in derivatives pricing theory such as risk neutral valuation and no-arbitrage pricing will be explained carefully. The course starts by covering forwards and futures which are relatively simple derivatives. It then moves on to consider swaps, which are portfolios of forward contracts. After that it covers options, which are more complicated.

The textbook for the course is “Options, Futures, and Other Derivatives” 8th edition written by the instructor, John Hull. Students may also find the Solutions Manual accompanying the book useful. This contains answers to the Practice Questions at the end of each chapter. There are 4 to 5 modules each week for seven weeks. Slides accompany each module. The precise background reading for each module is specified as the course progresses.

Course Outline

TopicReadingsWeek
   
Week 1: Introduction to Course 
Introduction to Course 
Derivatives Markets 
Forwards, futures and options 
Types of traders 
Mechanics of futures market 
Using futures for hedging 
Lecture slides
Hull: Chapters 1 to 3
1
Interest Rates, Forward Prices, and Futures Prices 
2.1 Interest rates 
2.2 Interest rates continued 
2.3 Forward and futures prices 
2.4 Forward and futures prices continued 
2.5 Interest rate futures 
Lecture slides
Hull: Chapters 4 to 6
2
Swaps 
3.1 Interest rate swaps 
3.2 Interest rate swaps continued 
3.3 Swap valuation 
3.4 Currency and other swaps 
Lecture slides
Hull: Chapter 7
3
Options markets 
4.1 Exchange-traded options 
4.2 Properties of stock option 
4.3 Trading strategies involving options 
4.4 One-step binomial trees 
Lecture slides
Hull: Chapters 9 to 11 and Sections 12.1 to 12.2
4
Valuation of options 
5.1 Assumptions for option valuation 
5.2 Black-Scholes-Merton formulas 
5.3 Black-Scholes-Merton continued 
5.4 Multistep binomial trees 
Lecture slides
Hull: Chapter 14 and Sections 12.3 to 12.11
5
Options on indices, foreign exchange and futures 
6.1 Index options 
6.2 Currency options 
6.3 Futures options 
6.4 Futures options continued 
Lecture slides
Hull: Chapter 16 and 17
6
Greek Letters and Volatility Smiles 
7.1 Delta 
7.2 Gamma, theta, vega, and rho 
7.3 Greek letters continued 
7.4 Volatility smiles 
Lecture slides
Hull: Chapters 18 and 19
7

There will be seven homework assignments, one at the end of each week. These are multiple choice questions designed to help you think carefully about the course material. The assignments are to be completed and submitted online. You need to complete all the assignments and secure a passing grade in order to receive certification from the professor.
    • Prerequisites
    • Hide

There are no specific prerequisites. An introductory course in finance or economics is desirable, but not essential.
Course Details
  • Video Lectures: Weekly
  • Assignments: Weekly
  • Certification: Upon securing passing grade
  • Time Commitment: 5-10 hours/week
  • Collaborative learning:Yes. Click here
  • TAs: None
  • Max Enrollment: 5000

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Все статьи раздела Образование

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Більше новин

ТікерOpenMaxMinCloseVolume
ALMK0.00820.00830.00820.00824105.00
BAVL0.20250.20510.20150.2051480283.00
CEEN1010.1379.94810.06116684.50
DNEN5986205986206793.00
DOEN11.3811.8511.311.625749.10
DOMZ0.0210.0210.0210.0211470.00
DOON2.15.92.15.9100800.00
KRDB0.0150.0150.0150.015750.00
KUBI33.1534.533.1533.53384.10
KVBZ8.998.559156084.00
MSICH222222272212222068861.00
UNAF104.1107104.1106.1117741.00
USCB0.0780.0780.0780.078780.00

Дані за 26.05.2017