Baruch Continuing And Professional Studies (CAPS)

Professor Droussiotis's Web Platform

Baruch Continuing And Professional Studies (CAPS) - Derivatives

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Spring 2019 Course Outline - Lectures , Assignments and Exams

Financial derivatives, whose valuation depends on a risk factor, will be defined, explored, and valued in this predominantly quantitative course. Binomial and Black Scholes models will be reviewed and applied to different scenarios. You will also learn hedging strategies effective in mitigating risk in this ever-changing market.

Contact the Professor at: christakis.droussiotis@baruch.cuny.edu

Syllabus - Spring 2019

Students that want to drop their files for the Professor please use the inbox below. Please note that you need to write your name inside the body of the file and then upload it on dropbox.

Professor's INBOX - CAPS

Tuesdays
VC 6-145

Jan 29

Feb 5

Feb 12

Feb 19

Feb 26

Mar 5

Mar 12

Mar 19

Mar 26

Apr 2
Online Class - check link below

Apr 9

N
O

C
L
A
S
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Link to Text Book

Text Book

Introduction to Derivatives and Risk Management 10th Edition
ISBN-13: 9781305104969
Authors: Don M. Chance; Roberts Brooks
Publisher: Cengage Learning

Chapter 1, 2

Introduction & Structure of Derivatives Markets

Chapter 6

Basic Option Strategies

Chapter 7

Advanced Option Strategy

Chapter 3

Principal of Option Pricing

Intro to Binomial Pricing Model - Method #1

Chapter 4

Option Pricing Models:
The Binomial Model - Single and Multi-stage Approach

Chapter 5

Option Pricing Models:
The Black-Scholes-Merton Model

Chapter 8

Forwards & Futures

Chapter 11

Swaps

Assigned Lectures

Lecture #1

Lecture #2

Lecture #3

Lecture #4

Lecture #4a (Intro to BOPM)

Lecture #5

MIDTERM EXAM REVIEW

Lecture #6

Lecture #7

Recording Lecture

ON LINE With Professor Drou

Swaps - PowerPoint Presentation

EXAM REVIEW

Lecture #8

Lectures on YouTube

Introductions to Options and Basic Strategies

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

Option Spreads

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

BOPM (single and 2-period) Method 2

Black Scholes Option Model

Futures & Forwards

SWAPS

EXAMS

Mid-Term Exam

Options Formula

Midterm Exam Answers

Final Exam

Options Formula

Homework Assignments

Homework #1:
Chapter 6 #10, 12, 13 (no graph for 13)

Answers H#1

Homework #2:
Chapter 7 #6,9,13

Answers H#2

Homework #3:

Homework Link #3

Answers H#3

Homework #4:

Homework Link #4

Answers H#4

Reading Assignments

Greeks in Finance

Horse Racing & Options

SIFMA Insights: US Listed Options Primer

CFA BOPM

Cummulative Normal Distribution Table

Article on Black Scholes

WSJ Futures Prices

Yahoo Finance Futures Prices

The Big Short Clip on CDS

Project Assigments

WSJ (6/1/2015): Weather Forecast Dampens Wheat Prices