Options, Futures, and Other Derivatives

Transcription

1 Business 70.4 Optins, Futures, and Cmmdities Prfessr Myles Bassell Phne: (718) *** check YOUR daily Office Hurs: **By Appintment** In Whitehead 217A: Tuesdays & Thursdays 5:00 6:15 **By Appintment Virtual Office Hurs: 24/7 / Instant Message Required Text Bk Optins, Futures, and Other Derivatives By Jhn Hull Prentice Hall ISBN: th Editin My Dzen Objectives 1. Distribute a written syllabus the first day f class 2. Demnstrate my ability t rganize materials fr the class 3. Stimulate interest in the tpic being studied 4. Generate effective class discussin when apprpriate 5. Cmmunicate effectively and speak clearly 6. Encurage independent thinking and ethical behavir 7. Demnstrate penness t students cmments, questins, and viewpints 8. Display an exceptinal understanding f the curse subject matter 9. Keep t the time and schedule requirements f the class 10. Prvide students access t me utside f class and be available fr Q&A 11. Clearly cmmunicate curse requirements and assignments 12. Prmptly grade exams Expected Curse Outcmes Students cmpleting this curse will: 1. Understand key RISK MANAGEMENT cncepts, terms, and definitins 2. Develp an understanding f hw fundamental cncepts and theries are applied 3. Cmprehend the imprtance f ptins, futures, and cmmdities 4. Attain a practical understanding f different types f derivatives 5. Appreciate cultural diversity and respect thers wh are f a different culture My Gal My gal is fr students t L E A R N! It is all abut yu! Optins & Futures: Bus 70.4 Website

2 Prfessr Bassell Page 2 f 9 My Gals Fr Yu 1. Increase Yur general knwledge abut the subject 2. Enhance Yur ability t analyze and slve prblems 3. Imprve Yur ability t use cmputers and the Internet 4. Expand Yur ability t find and use infrmatin n yur wn 5. Develp Yur ability t express yur ideas 6. Frtify Yur appreciatin and sensitivity t ethical issues 7. Enrich Yur understanding f different cultures and have yu becme a champin f cultural diversity My Missin T help students achieve their educatinal and prfessinal gals. Curse Overview The fcus f Bus 70.4 is n prviding a sphisticated verview f the issues and dilemmas facing risk managers. Derivatives (ptins and futures) are presented as a tl fr managers t minimize risk. Methdlgy: The text bk is required and an imprtant tl used t expse students t imprtant risk management cncepts and tpics. The applicatin f key risk management cncepts will be explred and students will be required t analyze case studies. The classrm experience is designed t reinfrce key cncepts frm the text bk and intrduce new cncepts. Discussin, lecture, pwerpint presentatins, and vide segments abut the applicatin f the cncepts will be used t help students develp a mastery in the subject matter. We will review Business Snapshts fr imprtant cncepts. Optins & Futures: Bus 70.4 Website

3 Prfessr Bassell Page 3 f 9 3 Mini Prjects This curse will require students t cmplete 3 mini prjects in an effrt t Strengthen yur critical reading, listening, and reasning skills Develp yur internet research, analytic, and quantitative skills Enhance yur ability t interpret data and slve prblems The due dates are as fllws: 1 st Part 2 nd Part 3 rd Part March 12th April 16th May 7th Attendance Class meetings are fr yur benefit! Regular attendance is required. Excessive absence (mre than 3) r lateness (mre than 6) will result in a penalty f ne full grade lwer. Absence fr religius bservance is allwed as utline in the Student Handbk. Students shuld cme t class prepared t participate and take really gd ntes!!! There will be infrmatin shared in class that is NOT in the bk. Yu are respnsible t knw this material fr the exams and quizzes. It is against department plicy t give makeup exams. **** There are NO makeup Exams**** Reading Assignments Please read the chapters, cases, and ther materials BEFORE class. The chapters next t the date are the chapters we will discuss in that class. Talking In Class Talking in class is allwed. HOWEVER, nly ne persn is allwed t speak at a time. I expect that yu shw respect fr students wh have pinins different frm yur wn. Als please be patient with students wh have questins and are trying t understand cncepts. Talking in class and being rude will certainly have a negative impact yur grade. Optins & Futures: Bus 70.4 Website

4 Prfessr Bassell Page 4 f 9 Exams (2) There will be 2 Exams **** There are NO makeup Exams**** Exam # Date f Exam Chapters 1 Midterm March 19th 1, 2, 3,4,5,6,7,8,9 2 Final Cumulative Yu are required t take bth exams. There are NO makeup exams allwed by the department. PLEASE d nt cheat r vilate the cde f cnduct! It is nt wrth getting an F r being suspended frm the university. EXTRA CREDIT: There are n EXTRA Credit assignments. Any student wanting t earn HONORS credit will need t have their prject apprved by me. Yur exams and prjects will be graded diligently. There is NO curve in grading exams. If yur average is a 59 yu earned an F. There are NO extra credit assignments. A rigrus prcess will be used t determine yur final grade. If yu get an A yu shuld get satisfactin frm knwing that yu wrked hard and earned that grade. Exam Types =The Final is **Cumulative** The date f the first Exam is psted in the Reading Schedule It will include multiple chice, fill-in, matching, shrt essay etc. Grading Percentage Midterm 50% Prject Part 1 5% Prject Part 2 5% Prject Part 3 5% Final 25% Attendance/Participatin 10% Factrs impacting yur grade: Cheating Infrequent attendance Rude r disruptive behavir Signing the attendance sheet and leaving Signing attendance sheet fr smene else Failure t turn ff electrnic devices (cell phnes, pagers etc) Optins & Futures: Bus 70.4 Website

5 Prfessr Bassell Page 5 f 9 Grading Criteria A 92.5% + C 72.5% t 77.49% A- 90.0% t 92.49% C- 70.0% t 72.49% B+ 87.5% t 89.99% D+ 67.5% t 69.99% B 82.5% t 87.49% D 62.5% t 67.49% B- 80.0% t 82.49% D- 60.0% t 62.49% C+ 77.5% t 79.99% F Belw 60% Study Guides, Prjects, and Assignments Yu must cmplete and submit ALL study guides, prjects, and assignments. Yu must submit them the day they are due. Late submissins f prjects will bear a 1 full grade lwer penalty. Study guides cunt twards class participatin. Each study guide r assignment nt submitted reduces yur curse grade 1 pint. Study guides includes, but nt limited t end f chapter QP (Questins and Prblems) and AQ (Assignment Questins). Befre submitting yur study guide assignment make a cpy f yur cmpleted study guide assignment s yu can use it t study. Make sure it is neat and easy t read. Als make sure that it is in yur wn handwriting. *****D nt pht cpy and submit the study guide f smene else. Sme databases that are available at Brklyn Cllege that wuld be relevant t the class (all f the databases mentined belw are available remtely) +Business Surce Premier -- access t full-text, schlarly materials (as well as trade publicatins, case studies) +Cmmunicatin & Mass Media Cmplete - access t full-text, schlarly materials, trade publicatins, etc). +Business & Cmpany Resurce Center - search fr cmpany r industry infrmatin & prfiles (rankings, prducts & brands, chrnlgies, etc.), cntains sme articles, but des nt have a rbust searching interface. (articles culd discuss management issues/best practices fr a cmpany/industry) +Academic Search Premier - access t full-text, schlarly materials, ppular magazines, trade publicatins, newspapers, etc. This cvers many subject areas. +JSTOR - everything in this database is available in full-text, all jurnals are schlarly; -Prject Muse - everything in this database is available in full-text, all jurnals are schlarly; cvers many subject areas T get t these databases frm the Brklyn Cllege Library main page: +Under Research Tls, chse Databases fr an alphabetical listing (if yu knw the name f the database yu want t search) OR +Under Research Tls, chse Resurces by subject (t get a list f database in that subject area) Dn't frget the New Yrk Public Library Business Library. (SIBL) has amazing resurces hw t get a library card ---->

6 Prfessr Bassell Page 6 f 9 Cde f Cnduct This Cde f Cnduct highlights and supplements, but des nt replace the Cde f Cnduct issued by Brklyn Cllege and/r The City University f New Yrk (C.U.N.Y.). The gal f this cde is t maximize the classrm experience fr all. Yur curse grade is in part a functin f yur: 1. exam, prject, and quiz results 2. level f participatin a. prjecting a psitive attitude b. making intelligent and relevant remarks 3. accurate cmpletin and timely submissin f study guides There are ther factrs that can have a significant impact n yur curse grade and they include: Cheating (calculatrs, phnes, ipds, pda s, blackberry s, tre, and ther devices are NOT allwed during any exam) Disruptive Behavir Rudeness Disrespect Lateness Interrupting the lecture Frequent absence Signing the attendance sheet and leaving OR signing fr smene else Failure t turn ff electrnic devices (cell, phnes, pagers etc) Penalties Vilatin f this Cde f Cnduct and ther rules f Brklyn Cllege and C.U.N.Y. can result in: Lwering yur curse grade ne full letter per ffense Receiving an F r failing grade fr the curse Being suspended r expelled frm the cllege r university Optins & Futures: Bus 70.4 Website

7 Prfessr Bassell Page 7 f 9 Optins, Futures, and Other Derivatives By Jhn Hull Prentice Hall 6th Editin ISBN: Table f Cntents Preface. 1. Intrductin. 2. Mechanics f Futures Markets. 3. Hedging Strategies Using Futures. 4. Interest Rates. 5. Determinatin f Frward and Futures Prices. 6. Interest Rate Futures. 7. Swaps. 8. Mechanics f Optins Markets. 9. Prperties f Stck Optins. 10. Trading Strategies Invlving Optins. 11. Binmial Trees. 12. Wiener Prcesses and It s Lemma. 13. The Black-Schles-Mertn Mdel. 14. Optins n Stck Indices, Currencies, and Futures. 15. Greek Letters. 16. Vlatility Smiles. 17. Basic Numerical Prcedures. 18. Value at Risk. 19. Estimating Vlatilities and Crrelatins fr Risk Management. 20. Credit Risk. 21. Credit Derivatives. 22. Extic Optins. 23. Insurance, Weather, and Energy Derivatives. 24. Mre n Mdels and Numerical Prcedures. 25. Martingales and Measures. 26. Interest Rate Derivatives: The Standard Market Mdels. 27. Cnvexity, Timing, and Quant Adjustments. 28. Interest Rate Derivatives: Mdels f the Shrt Rate. 29. Interest Rate Derivatives: HJM and LMM. 30. Swaps Revisited. 31. Real Optins. 32. Derivatives Mishaps and What We Can Learn frm Them.

8 Spring 2007 Reading Schedule Prfessr Myles Bassell Page 8 f 9 Week Date Tpics Reading Assignments 1 Jan 29 Risk Dynamics (Chapter 1) Due Dates 2 Feb 5 Mechanics f Futures (2) Hedging Strategies (3) 3 Feb 12 Linclns Birthday - Cllege Clsed Feb 15 - N Class 4 Feb 19 Presidents Day Cllege Clsed Feb 21 - N Class 5 Feb 26 Interest Rates (4) Frward & Future Prices (5) 6 March 5 Interest Rate Futures (6) Swaps (7) 7 March 12 Optins Markets (8) Prperties f Stck Optins (9) 8 March 19 ***Midterm EXAM*** 9 March 26 Trading Strategies (10) Optins n Stck Indices (14) Chapters 2 & 3 AQ 1.26, 1.27, 1.28, 1.29 Cllege Clsed Cllege Clsed Chapters 4 & 5 QP QP AQ Chapters 6 & 7 QP Chapters 8 & 9 Chapters 1,2,3,4,5,6,7,8,9 Chapter 10 Chapter 14 AQ QP AQ Submit Prject 1 Midterm Exam G t web 10 Apr 2 Spring Break N Class - 11 Apr 9 Spring Break N Class - 12 Apr 16 Credit Risk (20) Credit Derivatives (21) Submit Prject 2 13 Apr 23 Independent Study N Class - 14 Apr 30 Independent Study N Class - 15 May 7 Real Optins (31) Submit 16 May 14 Last Day f Class Review May Cumulative 6-8PM FINAL Exam Prject 3 G t web

9 Spring 2007 Prfessr Bassell Page 8 f 9 belw is a list f the imprtant dates fr the 2007 Spring semester Mnday, January 29 - First day f class Mnday, February 5 - Last day t add a curse; Mnday, February 12 - Cllege Clsed - Lincln's Birthday Tuesday, February 13 - Last day t file Pass/Fail applicatin; Thursday, February 15 - Mnday Schedule Mnday, February 19th - Cllege Clsed - Presidents Day Tuesday, February 20 - Last day t drp a curse withut a grade; Wednesday, February 21 - Mnday Schedule Thursday, March 15 - Last day t file fr Spring 2007 Graduatin; April 2-10 Spring Break Thursday, April 12 - Last day t reslve Fall 2006 Incmplete grades Thursday, April 12 - Last day t reslve Fall 2006 ABS grades Thursday, April 19 - Last day t apply fr withdrawal frm a curse with a W (nn-penalty) grade;