BUS 172C (Futures and Options), Fall 2017
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1 BUS 172C (Futures and Options), Fall 2017 Thursday, Jan 26th Thursday, May 16th Section 01: Tue, Thr 12:00 PM 1:15 PM Room: BBC 108 No lecture days: March 27 (Monday) March 31 (Friday): Spring break General Information Instructor: Dr. Jang H. Cho Phone: Office: BT 854 Fax: Office Hours: 3:00 PM 4:00 PM on Tuesdays and Thursdays Course Materials (1) REQUIRED materials: Course Reader: Mandatory to bring it to class. o It contains Syllabus and Lecture handouts. o The reader is available from the Maple Press (on 330 S. 10 th St., Suite 200) (2) RECOMMENDED materials: Fundamentals of Futures and Options Markets, 7/E or 8/E John C. Hull, Errata: Solutions Manual and Study Guide for Fundamentals of Futures and Options Market READ: My lecture notes contains the materials for one-semester lecture purpose. It is not possible to cover each and every topic in a Derivatives textbook. The most compelling reasons would be time limit and the fact that instructors bring cases into the class. The cases are from outside of a textbook. Hence, you have to understand and accept that there is a gap between lecture materials and the whole book. If you want to fill the gap, then please read this textbook. 1
2 John Hull s book can be sometimes more or sometimes less detailed, mathematical than my lecture materials. (3) Option pricing software One of the most popular derivatives is an option. Use of softwares has the following advantages. Speed, accuracy, practicality, visualization There are many, many software packages and webpage-based engine for option pricing. DerivaGem. This comes with the book by John Hull. The following is a snapshot using this webpage engine. Advantage: you can use this engine whenever you have an access to Internet. Disadvantage: It does not have any functions for binomial 2
3 Course Prerequisites BUS 170 (Fundamentals of Finance) and BUS 172A (Investment Analysis) (with minimum grade of "C" in each) Also, if you do not have any knowledge of College Algebra and Principles of Probabilities and Statistics, then it is not recommended to take this course. Grading Midterm exam 1 25% Midterm exam 2 24% Final exam 20% Individual Assignments 10% Group assignments (presentations) 6% Online Quizzes (through Canvas) 10% Participation 5% Total 100% Letter Grade A+ Range [97-100%) Letter Grade Range Letter Grade Range Letter Grade Range A [94-97%) B- [80-84) D+ [67-70) A- [90-94) C+ [77-80) D [64-67) B+ [87-90) C [74-77) D- [60-64) B [84-87) C- [70-74) F [0-60) Online Quiz Online quizzes are individually taken. They are not team-based. Each quiz will be open in the Canvas from 8:30 AM of one day after the corresponding topic is finished over the following five days until 11:30 PM. There are two attempts for each quiz. The highest score will be taken as a grade for each quiz. The quiz with the lowest grade will be dropped. This option is valid only if you take all the quizzes. 3
4 Presentations The purpose of presentation is to get knowledge and experience about the topics. It is important to know: although each team is in charge of a presentation, you all need to read and solve each and every material for the presentations. There will be nine teams since there are nine presentations. Information about presentations. 1. BRIEF INTRODUCTION TO OPTIONS ON STOCK INDEX OPTIONS AND INTEREST RATE OPTION 2. STANDARDIZATION OF FUTURES CONTRACTS 3. MARKING TO MARKET IN FUTURES MARKET 4. BRIEF INTRODUCTION TO EURODOLLAR FUTURES 5. BRIEF INTRODUCTION TO TREASURY BOND FUTURES *6. PRICING AND VALUATION SWAP CONTRACTS *7. WHY CDS BECAME A TIME BOMB DURING FINANCIAL CRISIS IN 2008? *8. ETHICAL ISSUES IN SECURITIZATION AND MARKETING DURING FINANCIAL CRISIS *9. ETHICAL ISSUES IN SYNTHETIC CDOS AND BETTING AGAINST THEM DURING FINANCIAL CRISIS * = Time-demanding presentation. An extra-credit will be given (1 point on the total grade.) Directions for presentations: refer to the course reader If any of team members complaints about cooperation of any other team member, then there will be peer evaluation among team members. Then, this will be strictly reflected into grading. Individual Assignment There are about five individual assignments. Refer to the course schedule to see the assignment schedule. The contents of the individual assignments are shown in the lecture notes. Exams There are three exams. There will be NO review sessions before the exam. The review materials will be posted online for self-study. Bring your scantrons and a calculator. Final exam date and time: Wednesday, May 24, 09:45 AM 1200 PM 4
5 Participation / Classroom Etiquette Participation is based on 10 points. The following participation during classes will be rewarded by 1 point each time. Answering to questions verbally during lectures Solving questions on the board Asking course topic related questions Lecture note-taking The following behaviors during classes will be penalized by 1 point each time. Some of the behaviors will be pointed out; others will be just marked on a grading sheet during the class. Text messaging Eating foods except for beverages Sleeping during classes Unpermitted conversations with classmates Leaving early before the class ends Going outside of the classroom more than once before the class ends (or before a break time begins) Working on other class materials, reading newspapers, etc. Using laptops in the class 5
6 Course Schedule The following lecture topics are listed based on my lecture notes. BELOW ARE LIST OF TOPICS. A LOT! ALTHOUGH I ENTHUSIACTICALLY WANT TO COVER EVERYTHING, THERE WILL BE TOPICS THAT WILL BE DROPPED OUT DUE TO TIME CONSTRAINTS. Table of Contents GUIDES FOR PRESENTATIONS ERROR! BOOKMARK NOT * = TIME-DEMANDING PRESENTATION. AN EXTRA CREDIT WILL BE GIVEN... ERROR! BOOKMARK NOT 1. BRIEF INTRODUCTION TO OPTIONS ON STOCK INDEX OPTIONS AND INTEREST RATE OPTION...ERROR! BOOKMARK NOT 2. STANDARDIZATION OF FUTURES CONTRACTS... ERROR! BOOKMARK NOT 3. MARKING TO MARKET IN FUTURES MARKET... ERROR! BOOKMARK NOT 4. BRIEF INTRODUCTION TO EURODOLLAR FUTURES... ERROR! BOOKMARK NOT 5. BRIEF INTRODUCTION TO TREASURY BOND FUTURES... ERROR! BOOKMARK NOT *6. PRICING AND VALUATION SWAP CONTRACTS... ERROR! BOOKMARK NOT *7. WHY CDS BECAME A TIME BOMB DURING FINANCIAL CRISIS IN 2008?... ERROR! BOOKMARK NOT Reading: Credit Default Swaps For Dummies - September 20, 2008Error! Bookmark not defined. Reading: How Credit Default Swaps Became a Time Bomb September 26, 2008Error! *8. ETHICAL ISSUES IN SECURITIZATION AND MARKETING DURING FINANCIAL CRISISERROR! BOOKMARK NOT Reading: Citigroup to Pay 7 Billion to Mortgage Probe July 14, 2014Error! Bookmark not defined. *9. ETHICAL ISSUES IN SYNTHETIC CDOS AND BETTING AGAINST THEM DURING FINANCIAL CRISISERROR! BOOKMARK NOT Reading: Banks Bundled Bad Debt, Bet Against It and Won - December, Error! Reading: Recipe for atomic CDO... Error! Reading: Wall Street's role in Greek crisis should be no surprise March, Error! PART I ERROR! BOOKMARK NOT OPTIONS ERROR! BOOKMARK NOT TERMINOLOGY AND PROPERTIES OF OPTIONS... ERROR! BOOKMARK NOT PREPARE PRESENTATION ABOUT INTRODUCTION TO OPTIONS ON STOCK INDEX OPTIONS AND INTEREST RATE OPTION.... ERROR! BOOKMARK NOT Put-Call Parity... Error! Lower bound of put option prices... Error! Early exercise... Error! ONLINE QUIZ 1... ERROR! BOOKMARK NOT Here will be a presentation about Introduction to Options on Stock Index options and Interest Rate Option.... Error! Factors affecting stock option prices... Error! OPTION VALUATION I (BINOMIAL MODEL)... ERROR! BOOKMARK NOT 6
7 A One-Step Binomial Model... Error! Two-Step Binomial Model... Error! ONLINE QUIZ 2... ERROR! BOOKMARK NOT OPTION VALUATION II (BLACK-SCHOLES MODEL)... ERROR! BOOKMARK NOT Intuitive Look of the B-S model... Error! Employee Stock Options (ESOs)... Error! Assignment: Valuing employee stock options... Error! Black-Scholes formula with discrete dividends... Error! VIX Futures / Options... Error! VALUATION OF EQUITY AND DEBTS USING OPTION PRINCIPALS... ERROR! BOOKMARK NOT Valuing equity... Error! Valuing risky bonds... Error! ONLINE QUIZ 3... ERROR! BOOKMARK NOT TRADING STRATEGIES USING OPTIONS... ERROR! BOOKMARK NOT Market Timing Strategy using Long Call and Long Put... Error! Protective Put... Error! Assignment: Home insurance and options... Error! Any type of plagiarism leads to zero grade.covered call strategyerror! Bull spread using call options... Error! Bull spread using put options... Error! Bear Spread using Calls and Puts... Error! Volatility Strategy Using Options... Error! Long Straddle... Error! Strangle... Error! ONLINE QUIZ 4... ERROR! BOOKMARK NOT MIDTERM EXAM #1 PREPARE PRESENTATION ABOUT STANDARDIZATION OF FUTURES CONTRACTS ERROR! BOOKMARK NOT PREPARE PRESENTATION ABOUT MARKING TO MARKET OF FUTURES CONTRACTS ERROR! BOOKMARK NOT PART II ERROR! BOOKMARK NOT FORWARD AND FUTURES ERROR! BOOKMARK NOT INTRODUCTION... ERROR! BOOKMARK NOT Here will be a presentation about Standardization of Futures Contracts Error! Bookmark not defined. FUTURES SPECIFICATIONS... ERROR! BOOKMARK NOT Here will be a presentation about Marking to Market of Futures Contracts Error! Bookmark not defined. PROFIT AND LOSS OF FORWARD/FUTURES CONTRACTS... ERROR! BOOKMARK NOT HEDGING STRATEGIES USING FUTURES... ERROR! BOOKMARK NOT Short Hedge using futures... Error! Assignment: Silver long hedge using futures contracts... Error! Long Hedge using futures... Error! PERFECT HEDGES AND IMPERFECT HEDGES... ERROR! BOOKMARK NOT Assignment: Basis risk in Silver long hedge... Error! ONLINE QUIZ 5... ERROR! BOOKMARK NOT PREPARE PRESENTATION ABOUT BRIEF INTRODUCTION TO EURODOLLAR FUTURES ERROR! BOOKMARK NOT PREPARE PRESENTATION ABOUT BRIEF INTRODUCTION TO TREASURY BOND FUTURES ERROR! BOOKMARK NOT CROSS HEDGING... ERROR! BOOKMARK NOT 7
8 Assignment: Cross hedge (Part 1 & 2)... Error! Hedging Market Risk for a Well-Diversified Portfolio... Error! Here will be presentations about Brief Introduction to Eurodollar Futures Error! Bookmark not defined. Here will be presentations about Brief Introduction to Treasury Bond Futures... Error! DETERMINATION OF FORWARD AND FUTURES PRICES... ERROR! BOOKMARK NOT Determination of Forward price... Error! Determination of Futures price... Error! ONLINE QUIZ 6... ERROR! BOOKMARK NOT MIDTERM EXAM #2 PART III ERROR! BOOKMARK NOT PLAIN VANILLA INTEREST RATE SWAP (OR, INTEREST RATE SWAP, IRS) ERROR! BOOKMARK NOT WHAT IS A SWAP CONTRACT?... ERROR! BOOKMARK NOT PLAIN VANILLA INTEREST RATE SWAP... ERROR! BOOKMARK NOT Entering into a interest rate swap... Error! USE OF IRS #1: TRANSFORM A FLOATING LIABILITY INTO A FIXED LIABILITY... ERROR! BOOKMARK NOT USE OF IRS #2: TRANSFORM A FIXED LIABILITY INTO A FLOATING LIABILITY... ERROR! BOOKMARK NOT ASSIGNMENT: PROCTER & GAMBLE'S SPECULATIONS WITH SWAPS ERROR! BOOKMARK NOT SWAP MARKET MAKING... ERROR! BOOKMARK NOT USE OF IRS #3: UTILIZE COMPARATIVE ADVANTAGE... ERROR! BOOKMARK NOT ONLINE QUIZ 7... ERROR! BOOKMARK NOT PRICING SWAP CONTRACTS... ERROR! BOOKMARK NOT Swap spread... Error! SWAP VALUATION... ERROR! BOOKMARK NOT Termination of a swap... Error! ONLINE QUIZ 8... ERROR! BOOKMARK NOT PREPARE PRESENTATION ABOUT DETERMINATION OF SWAP RATE.ERROR! BOOKMARK NOT OTHER TYPES OF SWAP ERROR! BOOKMARK NOT EQUITY SWAP... ERROR! BOOKMARK NOT ASSET SWAP... ERROR! BOOKMARK NOT COMMODITY SWAP... ERROR! BOOKMARK NOT Assignment: Managing fuel costs using a commodity swap. Error! Here will be a presentation about Determination of Swap Rate.Error! CREDIT DERIVATIVES CDS, CDO ERROR! BOOKMARK NOT CDS (CREDIT DEFAULT SWAP)... ERROR! BOOKMARK NOT PREPARE PRESENTATION ABOUT WHY CDS BECAME A TIME BOMB DURING FINANCIAL CRISIS IN 2008?... ERROR! BOOKMARK NOT CDO (COLLATERALIZED DEBT OBLIGATION)... ERROR! BOOKMARK NOT Reading: Collateralized Debt Obligation (CDO)... Error! Reading: Down The Rabbit Hole: Deciphering CDOs -5/17/2010Error! Bookmark not defined. Here will be presentation about Why CDS Became a Time Bomb During Financial Crisis in 2008?... Error! CHECK THE PROGRESS OF PRESENTATION ABOUT ETHICAL ISSUES IN SECURITIZATION AND MARKETING DURING FINANCIAL CRISIS... ERROR! BOOKMARK NOT 8
9 CHECK THE PROGRESS OF PRESENTATION ABOUT ETHICAL ISSUES IN SYNTHETIC CDOS AND BETTING AGAINST THEM DURING FINANCIAL CRISIS... ERROR! BOOKMARK NOT Synthetic CDO (balance sheet motivated case)... Error! Risk amplification by CDOs... Error! Reading: Senate's Goldman Probe Shows Toxic Magnification - May 2, Error! Reading: Naked CDS: Exposed August 10, Error! NO ONLINE QUIZ... ERROR! BOOKMARK NOT FINAL EXAM Here will be a presentation about Ethical issues in securitization and marketing during financial crisis... Error! Here will be a presentation about Ethical issues in synthetic CDOs and betting against them during financial crisis... Error! 9
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