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SHU BFIN 4234 BFIN 7331 - Options, Futures, Derivatives

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The course is designed to introduce theoretical and practical applications of financial futures, options and other derivatives such Swaps, Swaptions and FRAs.  Over the last 30 plus years, with the expansion of hedge funds, the markets for these asset classes have grown enormously and has generated innovative techniques for hedging, speculating or arbitraging investments. Derivatives have become one of the most important tools of modern finance. We will examine the institutional aspects of futures, options and swap markets and provide an analytical foundation for the pricing these instruments. The subject matter requires relatively greater use of quantitative methods including the binomial option pricing model as well as the classic model of Black-Scholes-Merton.
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Course Outline -  Lectures , Assignments and Exams

INFO:

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Syllabus

Syllabus Fall 2024

Professor's Inbox
(upload info for Professor)

Professor's Inbox

Processor's Email

Office Hours
In person
 

THURSDAYS 4:00-5:30PM

JH ROOM# 691

Zoom Channel

Zoom Link to Class (Hybrid for Graduate Students)

Class Info/time

Thursdays 6.30-8:40pm

Room SH 208

Professor's Biography

Professor's Biography

Office Hours/Remote
(9:00-5pm)

Make an Appointment Link

THURSDAYS

6:30-8:40PM

Aug 29

Sep 5 

Sep 12

Sep 19

Sep 26

Oct 3

Oct 10
Pre-Recorded

Oct 17
Remote on-line Via Canvas

Oct 24

Oct 31

Nov 7

Nov 14

Nov 21

Nov 28

Dec 5

Dec 12

   

OPTION STRATEGIES AND VALUATION

FUTURES, FORWARDS, SWAPS, CDS AND FRA's

EQUITY
VALUATION

N

O

 

C

L

A

S

S

REVIEW AND FINAL EXAM
VIA ZOOM
 

 

Image result for Introduction to Derivatives and Risk Management 10th Edition

      Chapter    1, 2

Introduction & Structure of Derivatives Markets 

Chapter 6 

Basic Option Strategies 

Chapter 7 

Advanced Option Strategies 

Chapter 3-4 

Spread  Option Strategies 

Review of all Options (Basic, Covered Strategies and Advance Strategies) 

Chapter 4

Intro to Binomial Pricing Model - Method #1

 The Binomial Model -  Single and Multi-stage Approach

 

In-Class Practice

EXAM REVIEW
(Pre-Recorded on Zoom - see link below)

Midterm Exam - Options

Options Formula

Options Practice Sheet with Answers

 

MIDTERM EXAM RESULTS REVIEW

Option Pricing Models:

The Black-Scholes-Merton Model 

Chapter 8

Forwards & Futures

Chapters 11 & 12

Swaps andTRS

Credit Swaps, FRAs
and CDS

Instructor's Notes:
 
 Equity Valuations using Options approach
 

Exam Review
via Zoom

 

Assigned Lectures

Introduction to Derivatives

Options: Concepts, Strategy and Valuations

Options: Concepts, Strategy and Valuations

Options: Concepts, Strategy and Valuations

Options: Concepts, Strategy and Valuations

Options: Concepts, Strategy and Valuations

   

Options: Concepts, Strategy and Valuations

Futures, Forwards & Swaps

Futures, Forwards & Swaps

 

Valuation of start-up businesses using Black-Scholes Options Pricing Model

Final Exam Review

 

Zoom Recordings

Zoom Recording 8/29/2024

Zoom Recording 9/5

Zoom Recording 9/12

Zoom Recording 9/19

Zoom Recording 9/26

Zoom Recording 10/3

Zoom Recording - Midterm Review

   

Zoom Recording 10/31

Zoom Link 11/7

Zoom Link Recording 11/14

Zoom Recording 11/21

   

Lecture on YouTube

 

Introductions to Options and Basic Strategies

JD.com Call Option

JD.com Options - Yahoo Finance

Nike - Bear Put Spread

Nike Options - Yahoo Finance

Introduction to Option Valuation

One-Period BOPM (Leverage & Probability Method) Call Option 1/3

 

Two-Period BOPM - Call Option 2/3

Two-Stage BOPM - Put Option 3/3

       

Interest Rate Swaps - The Basics 1/3

Interest Rate Swaps and benefits 2/3

Simple Interest Rate Swaps 3/3

Currency Swaps & CDS

       

Assigned Spreadsheets

 

Basic Option Strategies (Protective Puts, Covered Calls, Collars)

Excel Template: Options: Concepts, Strategy and Valuations

Advanced Strategies (Bull, Bear, Butterfly Spreads)

Spread Options In-Class Examples

 

Bionomial Option Pricing Model Method 1 (6-step Method)

BOPM (single and 2-period) Method 2

   

Black Scholes Option Model

Futures & Forwards

Chapter 14 - Futures, Forwards & Swaps

SWAPS

Total Return Swaps (TRA)

 

SaaS IP Case Study - OPM Valuation

Distress Company Valuation using Black Scholes - Spirit Air Bankruptcy

   

EXAMS

             

MidTerm online via Canvas

           

Final Exam

Final Exam Review

Question 8 Take Home Exam - Bonus Points

Question 8 Template

Midterm_Exam_Questions_1_2

Options Practice Sheet with Answers

Options Formula

Homework Assignments

     

Homework #1

Homework found on Canvas with spreadsheet template

Homework #2

Homework found on Canvas with spreadsheet template

 

Homework #3

Homework found on Canvas with spreadsheet template

Homework #4

Homework found on Canvas with spreadsheet template


   

Homework #5

Homework found on Canvas with spreadsheet template


Homework #6

Homework found on Canvas with spreadsheet template


Homework #7

Homework found on Canvas with spreadsheet template


     
Reading Assignments

textbookfirsteditionV2.jpeg.jpg

 An Analytical Approach to Investments Finance & Credit (1st Edition)

C.Droussiotis,  Cognella Publishing 

To Purchase Textbook

ARTICLE: GameStop's Gargantuan Gamma Squeeze

GameStop Charts

Greeks in Finance

SIFMA Insights: US Listed Options Primer

Trading and valuing Options

YouTube Link: DVDA Uncovered Put

YouTube Link: Bull Call Spread on Regeneron

       

Article on Black Scholes

Bitcoin Option Calc Using Black Scholes

Horse Racing & Options

CFA BOPM

WSJ Futures Prices

Yahoo Finance Futures Prices

Total Return Swap gone wrong - Article

LIBOR MARKETS Interest Rates

Managing Negative Interest Rates

The Big Short Clip on CDS

     

Practice Sheets

 

Options Practice Sheet with Answers

 

The Greeks in Options Explain

                     
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