DERIVATIVE SECURITIES IMBA Fudan University The University of Hong Kong Second Semester 2003/2004
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1 DERIVATIVE SECURITIES IMBA Fudan University The University of Hong Kong Instructor : Prof. ecchang@business.hku.hk Office : Meng Wah Complex, Room 604 Office Phone : (852) Fax : (852) Class Schedule: Classes (Sunday 9am - 6pm; Monday 12:30pm 5:30pm) Class Venue: Room 106, Li Da San Building Course Objectives This course is designed to apply what is known about options and futures in the academic community to options and futures in the investment community. The course will utilize outside readings, classroom lectures, assigned problems, and simple cases, as a basis for instruction. The orientation of the course leans toward practical investment implications, however, a certain amount of theory is necessary to understand the methodologies used in generating solutions to the problems. Text: Required Jarrow, Robert and Stuart Turnbull, 1999, 2 nd edition, Derivative Securities (South-Western College Publishing, Cincinnati, Ohio) References Hull, John, 1995, Introduction to Futures and Options Markets (Prentice-Hall, Inc., Englewood Cliffs, New Jersey). Siegel R. Daniel and Diane F. Siegel, 1990, Futures Markets (The Dryden Press, a division of Holt, Rinehart and Winston, Inc., Orlando, FL). Cox, John C. and Mark Rubinstein, 1985, Options Markets (Prentice-Hall, Inc., Englewood Cliffs, New Jersey). Bookstaber, Richard M., 1991, Option Pricing & Investment Strategies (Probus Publishing Company, Chicago). 1 of 5
2 Syllabus*** I. Introduction to Derivative Securities A. Forward Contracts B. Futures Contracts C. Hedgers D. Speculators E. Arbitrageurs F. Options Readings: Jarrow & Turnbull, Chapter 1 II. Simple Arbitrage Relationships for Forward and Futures Contracts A. Definition of Arbitrage B. Forward and Spot Prices C. Known Cash Flows to the Underlying Asset D. Forward Contracts on Constant Dividend Yield E. Forward Contracts on Commodities F. Forward and Futures Prices Readings: Jarrow & Turnbull, Chapter 2 III. Simple Arbitrage Relationships for Options A. What are Puts and Calls B. Specification of Stock Options C. Payoff Diagrams for Elementary Strategies D. Relationship Between Call and Put Options Readings: Jarrow & Turnbull, Chapter 3 IV. Trading Strategies Involving Options A. Strategies Involving A Single option and A Stock B. Spreads C. Combinations Readings: Handouts V. Asset Price Dynamics A. The Lognormal Distribution B. Binomial Pricing Readings: Jarrow & Turnbull, Chapter 4 2 of 5
3 VI. The Binomial Pricing Model A. Single Period Example B. Multiperiod Example C. The Binomial Pricing Model D. Constructing the Synthetic Option E. Risk Neutral Valuation F. Hedge Ratio (Delta) G. Replicating Option on Spot With Futures Readings: Jarrow & Turnbull, Chapter 5 VII. Martingale Pricing A. Relative Prices and Martingales B. The Money Market Account C. Risk Neutral Valuation D. Martingales and No Arbitrage Readings: Jarrow & Turnbull, Chapter 6 VIII. American Options A. Cum-Dividend/Ex-Dividend Prices B. American Call Options C. American Put Options D. Valuation Readings: Jarrow & Turnbull, Chapter 7 IX. The Black-Scholes Model A. Continuous-time Representation of Stock Price Changes B. The Equivalent Martingale Probability Distribution C. European Options D. Hedging E. Properties of the Black-Scholes Model F. Historical Volatility and Implied Volatility Readings: Jarrow & Turnbull, Chapter 8 X. Replication and Risk Exposure with Model Misspecification A. Problems with Delta Hedging B. Delta-Gamma Hedging C. Delta-Gamma-Vega Hedging D. Model Misspecification Readings: Jarrow & Turnbull, Chapter 10 XI. Hedging Positions in Options and Portfolio Insurance 3 of 5
4 A. Delta Hedging B. Dynamic Hedging and Portfolio Insurance Readings: O'Brien, Thomas J., "The Mechanics of Portfolio Insurance," Journal of Portfolio Management (Spring 1988), pp XII. Foreign Currency A. Foreign Currency Derivatives B. Options on Foreign Currency Futures C. Replicating Options on Spot with Futures Readings: Jarrow & Turnbull, Chapter 11 XIII. Stock Indices, and Commodities A. Cash Markets B. Stock Index Futures C. Portfolio Management with Stock Index Futures D. Pricing Index Options Readings: Jarrow & Turnbull, Chapter 12 *** Additional discussion questions and problems will be announced periodically. The extent of the material is substantial, and we may not complete it all. Basis of Assessment Individual class contribution 10% Quizzes & Exams 60% Group Project 30% 4 of 5
5 Class Date Week Day Time Remarks 1 Mar 28 Sunday 9 am 6 pm 2 Mar 29 Monday 12:30 pm 5:30pm 3 Apr 18 Sunday 9 am 6 pm 4 Apr 19 Monday 12:30 pm 5:30 pm 5 May 2 Sunday 9 am 6 pm 6 May 3 Monday 12:30 pm 5:30 pm 5 of 5
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