Baruch Continuing And Professional Studies (CAPS)

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Baruch Continuing And Professional Studies (CAPS) - Derivatives

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Fall 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.

Derivatives Syllabus Fall 2019

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

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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)

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

Homework #3:

Homework Link #3

Homework #4:

Homework Link #4

Reading Assignments

Greeks in Finance

FB Option Sheet Sep 2019

Options Page on FB

SIFMA Insights: US Listed Options Primer

Horse Racing & Options

CFA BOPM

Cummulative Normal Distribution Table

Article on Black Scholes

WSJ Futures Prices

Yahoo Finance Futures Prices

The Big Short Clip on CDS

Practice Sheets

Options Practice Sheet with Answers

#11 & #12

Futures & FX/Interest Swaps (Lecture from SHU)

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