futuresandoptions(b40.3335.01).docVIP

Futures and Options (B40.3335.01) Fall 2011(tentative) Professor Menachem Brenner Course Description: This is a course in derivatives markets: structure, valuation and strategies. The main applications include the equities markets, foreign exchange and commodities. It has two parts: The first part deals with the structure of forward and futures markets, pricing and hedging with such contracts. The second and larger part deals with options markets; strategies, pricing and position analysis. It includes topics like: Short Selling, Value at Risk, Exotic Options, Volatility Derivatives and Trading Volatility. The course will consist of lectures, discussions and problem solving. Prerequisites: All core courses. This course requires a basic knowledge of futures and options. Remind yourself of the basic features of futures, calls, puts and payoff diagrams. Exams and Grading: The final grade will be based on a mid-term exam and a final exam (multiple-choice exams). The mid-term will have a weight of 30% and the final a weight of 70%. Class participation may improve your grade. The grade distribution is: A (25%-30%), B (50%-60%); C (5%-10%); D, F (remainder if any). Problem Sets: Posted on Blackboard. There will be 8-9 problem sets. Solutions to the problem sets will be provided after you have had a chance to solve them. Additional problems will be presented and discussed in class. Required Material: You are responsible for the material covered in class, for all announcements made in class, for material posted on Blackboard and sent by e-mail. The problem sets and all handouts are part of the class material. Required book: Hull John (H) Options, Futures and Other Derivatives, Prentice Hall, 7th ed. Or 8th ed. (if published in time). The book is not a substitute for the lecture notes and class discussions. Some topics and details are not covered by the book. Recommended book: Sundaram Rangarajan and Sanjiv Das, Derivatives, Principles and Practice.