Week |
Date |
Topic |
Content and Reading Assignment |
Teaching Activities and Homework |
In-class Hours |
Outside-of-class Hours |
1 |
26-Feb-21 |
Overview of the derivatives market |
Lecture notes;
OFOD Ch1 |
Lecture 1 |
3 |
6 |
2 |
5-Mar-21 |
Forward, futures, and hedging strategies |
Lecture notes;
OFOD Ch2, 3 |
Lecture 2 |
3 |
6 |
3 |
12-Mar-21 |
Pricing of forward and futures |
Lecture notes;
OFOD Ch5 |
Lecture 3
HW1 (due: 24-Mar-21) |
3 |
6 |
4 |
19-Mar-21 |
Put-call parity and option price bounds |
Lecture notes;
OFOD Ch11 |
Lecture 4 |
3 |
6 |
5 |
26-Mar-21 |
Option trading strategies |
Lecture notes; Excel; Python;
OFOD Ch 12 |
Lecture 5
HW2 (due: 7-Apr-21) |
3 |
6 |
6 |
2-Apr-21 |
|
|
Holiday |
3 |
6 |
7 |
9-Apr-21 |
Binomial option pricing |
Lecture notes;
OFOD Ch13 |
Lecture 6 |
3 |
6 |
8 |
16-Apr-21 |
|
|
Midterm Examination |
3 |
6 |
9 |
23-Apr-21 |
Applications of binomial option pricing |
Lecture notes; Excel; Python;
OFOD Ch13 |
Lecture 7 |
3 |
6 |
10 |
30-Apr-21 |
Ito's lemma and stochastic differential equations |
Lecture notes;
OFOD Ch14 |
Lecture 8 |
3 |
6 |
11 |
7-May-21 |
Black-Scholes-Merton model |
Lecture notes;
OFOD Ch15 |
Lecture 9
HW3 (due: 19-May-21) |
3 |
6 |
12 |
14-May-21 |
Hedging and option greeks |
Lecture notes; Excel; Python;
OFOD Ch19 |
Lecture 10 |
3 |
6 |
13 |
21-May-21 |
Implied volatility and volatility surface |
Lecture notes;
OFOD Ch20 |
Lecture 11
Project (due: 9-Jun-21) |
3 |
6 |
14 |
28-May-21 |
Numerical methods in pricing derivatives |
Lecture notes; Excel; Python;
OFOD Ch21 |
Lecture 12
HW4 (due: 9-Jun-21) |
3 |
6 |
15 |
4-Jun-21 |
Exotic options |
Lecture notes;
OFOD Ch26, 27 |
Lecture 13 |
3 |
6 |
16 |
11-Jun-21 |
Additional topics in derivatives |
Lecture notes |
Lecture 14 |
3 |
6 |
17 |
18-Jun-21 |
|
|
Final Examination |
3 |
6 |