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1、OPTIONSANDFUTURESMARKETSDescriptionThiscoursecoversforwards,futures,swaps,andoptions.Bytheendofthecourse,studentswillhavegoodknowledgeofhowtheseproductswork,howtheyareused,howtheyarepriced,andhowfinancialinstitutionshedgetheirriskswhentheytradetheproducts.Moreadvancedmaterialonderivativeproductsandr
2、iskmanagementiscoveredinlaterelectives.RequiredReadingsHull,JohnC.Options,Futures,andOtherDerivatives,9thEdition,Hull,JohnC.SolutionsManualforOptions,Futures,andOtherDerivatives,9thEdition,AssignmentsTherearethreehand-inassignmentsduringtheSemeSter:Assignment1:1.35,1.36,2.31,2.33,3.31,3.32,4.34,4.35
3、(dueweek5)Assignment2:5.31,5.33,6.31,7.23,7.24,8.16,9.12,10.28,11.25(dueweek9)Assignments：12.24,13.25,15.28,15.30,16.16,17.28,17.30,18.25,19.24,19.25,19.27(dueweek14)AssessmentAssignment115%Assignment215%Assignment320%FinalExam50%Thefinalexaminationwillnotbeopenbook.Youwillbepermittedatwo-sided,chea
4、tsheef,withnotesand/orformulae.ScheduleWeek1:IntroductionandmechanicsoffuturesMarkets;Chapters1and2Week2:Hedgingstrategiesusingfutures;Chapter3Week3:Interestrates;Chapter4Week4:Determinationofforwardandfuturesprices;Chapter5Week5:Interestratefutures;Chapter6Week6:Swaps;Chapter7Week7:Securitizationan
5、dtheCreditCrisisandOISDiscounting,Chapter9Week8:Mechanicsofoptionmarketsandpropertiesofoptions;Chapters10and11Week9:Tradingstrategiesinvolvingoptionsandbinomialtrees;Chapters12and13Week10:TheBlack-Scholes-Mertonmodel;Chapter15(ecl.15.6)Week11:Employeestockoptions;Chapter16Week12:Optionsonstockindices,currenciesandfutures;Chapters17and18Week13:TheGreeks;Chapter19Week14:Volatilitysmiles;Chapter20Week15:Reviewofcourse;Chapter36
