This course is aimed to provide an introduction to derivatives, in particular to futures and options, and their applications in risk management. Not only the products but also their markets will be covered with details. If time is allowed, swaps will also be covered. The sequence of topics will be options, futures and forward, and then swaps.
2. Learning outcomes
After completing the course students should:
•Understand the general ideas and concepts of futures and options contracts,
•Be familiar with the market practices of futures and options markets,
•Be clear about the roles of derivatives in risk management, and
•Be able to implement various trading and hedging strategies with futures and options.
Midterm: 40%. Final: 50%. Participation: 10%.
Chance, D. and R. Brooks, 2012, An Introduction to Derivatives Markets and Risk Management, 9th edition, Thomson South-Western. (指南)
PART I: Options
2. Structure of Options Markets
3. Principles of Option Pricing
4. Option Pricing Models: The Binomial Model
5. Option Pricing Models: The Black-Scholes-Merton Model
6. Basic Option Strategies
7. Advanced Option Strategies
PART II: Forwards and Futures
8. The Structure of Forward and Futures Markets
9. Principles of Pricing Forwards, Futures, and Options on Futures
10. Futures Arbitrage Strategies
11. Forward and Futures Hedging, Spread, and Target Strategies
PART III: Advanced Topics
13. Financial Risk Management Techniques and Applications
14. Managing Risk in an Organization