10/30/2015 Nattawoot Koowattanatianchai 1

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1 10/30/2015 Nattawoot Koowattanatianchai 1

2 Derivatives Analysis Nattawoot Koowattanatianchai 10/30/2015 Nattawoot Koowattanatianchai 2

3 Homepage: Phone: Ext Mobile: Office: 9 th floor, KBS Building 4 10/30/2015 Nattawoot Koowattanatianchai 3

4 Introduction 10/30/2015 Nattawoot Koowattanatianchai 4

5 Course description Analysis of contracts, pricings, valuations and risks of forward, futures, swap, and options, risk management of option strategies, and interest and credit derivatives, introduction of various types of risks such as market risk, credit risk and operational risk, measurement of risk, and components of risk management process. 10/30/2015 Nattawoot Koowattanatianchai 5

6 Class time and venue Class will meet every Saturday, am 5.30 pm, CC15 ABAC City Campus. Midterm exam on November 21, Final exam on December 19, /30/2015 Nattawoot Koowattanatianchai 6

7 Texts CFA Program Curriculum Level II Volume 6: Derivatives and Portfolio Management. Don M. Chance and Robert Brooks, An Introduction to Derivatives and Risk Management, 9 th Edition, 2013, Thomson. 10/30/2015 Nattawoot Koowattanatianchai 7

8 Course objectives To be able to describe characteristics of various derivative contracts. To understand the mechanism of derivatives markets and derivatives trading. To be able to price various types of derivative securities. To be able to value various types of derivative securities at different points in time. 10/30/2015 Nattawoot Koowattanatianchai 8

9 Course objectives The course is carefully structured to ensure close alignment with the CFA curriculum. 10/30/2015 Nattawoot Koowattanatianchai 9

10 Expected workload 15 hours per week 6 hours for the class 5 hours in undertaking the background reading 4 hours in researching and writing the essay 10/30/2015 Nattawoot Koowattanatianchai 10

11 Materials and equipment Electronic calculators are permitted in examinations. calculators must be non-programmable and without a full set of alphabetic keys. 10/30/2015 Nattawoot Koowattanatianchai 11

12 Course outline Introduction and forward contracts Chance/Brooks Chapter 8 CFA II reading 47 Pricing and valuation of forward contracts Chance/Brooks Chapter 9 CFA II reading 47 Futures contracts Chance/Brooks Chapters 8-9 CFA II reading 48 10/30/2015 Nattawoot Koowattanatianchai 12

13 Course outline Option contracts Chance/Brooks Chapters 2 and 6 CFA II reading 49 Option pricing Chance/Brooks Chapters 3-5 CFA II reading 49 Swap contracts Chance/Brooks Chapter 12 CFA II reading 50 10/30/2015 Nattawoot Koowattanatianchai 13

14 Course outline Interest rate derivative instruments Chance/Brooks Chapter 13 CFA II reading 51 Credit default swaps Chance/Brooks Chapter 13 CFA II reading 52 10/30/2015 Nattawoot Koowattanatianchai 14

15 Assessment requirements Class participation 10% Essay 30% Midterm exam 30% Final exam 30% 10/30/2015 Nattawoot Koowattanatianchai 15

16 Essay Literature review topic Does the Black-Scholes-Merton Model correctly price options Requirements 4,000 words or less typed in Microsoft Word. At least 25 refereed journal articles are included. Use Harvard style of referencing. 10/30/2015 Nattawoot Koowattanatianchai 16

17 Essay Submission deadline By midnight on December 13, Penalty Late essays will attract a 10% penalty per calendar day for the first five days (i.e., marked out of 90, 80, etc.), and be awarded zero after five days. Essay material in excess of the word limit will not be marked. 10/30/2015 Nattawoot Koowattanatianchai 17

18 Mandatory course requirements Essay submitted Midterm and final exams attended A minimum class attendance of 80% to be eligible to sit the final examination. 10/30/2015 Nattawoot Koowattanatianchai 18

19 Grading less than 50 = F = D = C = B+ 80 and above = A = D = C = B Decimals will be rounded up to the nearest integer! 10/30/2015 Nattawoot Koowattanatianchai 19

20 Grading In the event that the assessment scheme yields a fail grade (less than 50% of the total marks), but the exam marks alone yield a pass, a C pass will be awarded. 10/30/2015 Nattawoot Koowattanatianchai 20

21 Class communication Communication with me In class Chat group on Line Course contents Download them from my homepage 10/30/2015 Nattawoot Koowattanatianchai 21

22 Academic rules and regulations Consult the student handbook of Assumption University s Graduate School of Business GSB%20May%202014%20small.pdf 10/30/2015 Nattawoot Koowattanatianchai 22

23 4/6/2011 Natt Koowattanatianchai 23 10/30/2015 Nattawoot Koowattanatianchai 23