I. Announcements:
(12/31/07)  1.   Welcome to FINA 4320/6320, Derivatives Security Markets.   Be prepared for a fun and challenging class where you learn about the purpose, pricing, and applications of derivatives including call and put options, forward and futures contracts, and swaps.  The syllabus is available in II. below.  As an initial assignment, read through Chapter 1 of our text (see the notes in III. below) and read "Reading 1" under category VII. below.  This reading is the announcement of the 1997 Nobel Prize in Economics and it provides a nice  background on the importance of derivatives. 

(1/25/2008)  2.  The tentative group assignments, along with account numbers, for the Option Trading Game are posted  in VI. below.  Also, the two WSJ articles on option trading are now posted below in  VII.

(3/26/08)  3.  The instructions for the course projects are posted in Sections VII and VIII below.  Note that the project in Section VIII is for FINA6320 students only.

(3/31/08)  4.  Our next exam is planned for Tuesday, April 8.  It will cover Chapters 5 through 8.  Practice questions with answers are posted in V. below.  Note that these practice questions are longer than you should expect for the in-class exam.

(3/31/08)  5.  For the SECOND CITY PROJECT,  revised instructions were posted on 3/31/08 in Section VII on this webpage.  Please discard the old version and use this new one.

(4/15/08)  6.  For the SECOND CITY PROJECT, I prefer a hardcopy of your project be turned in during class on April 17.

(4/24/08)  7.    For the Final Exam, you will be given the Black-Scholes equations, Table 3.13 from the text, and the standard normal probability table. 
                       Here is an example coversheet.

        II. Course Syllabus:         Syllabus in pdf file                   Chapter 4      

                  Chapter 5

                  Chapter 6
       
                  Chapter 7

                  Chapter 8

                  Chapter 9

                  Chapter 11

                  Very Brief Intro to Real Options

                  Chapter 12 - Swaps                Chapter 2

               Chapter 3

               Chapter 4

               Chapter 5

               Chapter 6

               Chapter 7

               Chapter 8

               Chapter 9

              Chapter 11

     
        V.   Practice Exams. - to be posted about one week prior to exams.
                Practice Questions for Exam 1:  Chapter 1 - 4                  ANSWERS to Practice Questions for Exam 1:  Chapter 1 - 4

               Practice Questions for Exam 2:  Chapter 5 - 8                  ANSWERS to Practice Questions for Exam 2:  Chapter 5 - 8

    

       VI. Trading Game:                  Instructions             Group Assignments and Account Numbers                   Spreadsheet Template      
     
      

        VII. Course Case Project (Revised instructions posted on 3/31/08, please discard the prior version):                  Instructions        Return Data    

       

        VIII. Additional Course Project for FINA6320 students:                  Instructions       

      
       IX.   Answers to Exams.
                   Exam 1:  Chapter 1 - 4                         Exam 2:  Chapter 5 - 8


       X. Additional Readings:             Readings 2 & 3:  WSJ articles about the Option Trading Game  WSJ options article 1      WSJ options article 2

            Reading 4:  WSJ article from 2/20/2008 about how about how delta-hedging by institutions might act to amplify volatility Delta-hedge:WSJ              Reading 5:  Reuters article from 2/28/2008 about oit puts betting on oil price declines and potential price effects Oil puts

          Reading 6:  WSJ article about Ted Turner Hedge of Time Warner stock  Turner Hedge
   
          Reading 7:  About Equity-Linked Securities  ELS

             Reading 8:  Article on 'Reverse Convertibles' - think about the underlying options  RevCon

             Reading 9:  Short Presention on 'MG Hedge Gone Bad' - MG

     
     X. Other Items             Here is the spreadsheet that calculates Black-Scholes and the Binomial Option Pricing Model  bsbin3.xls

            This spreadsheet provides the standard cumulative normal probability for N(d1) and N(d2) in the Bl. Scholes model
             in a table format  stdnormalprob.xls           

             Here is the "mathematical extra" material behind the Black-Scholes model  BlScholes.pdf

            This spreadsheet can be used to calculate the historical return volatility from a time series of price movements  hisv2.xls             Here is the historical market "Implied Volatility Index" VIX.xls

             Here is the strategly analyzer spreadsheet  
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