Derivatives09-0 - Overview

Derivatives09-0 - Overview - FINA222DerivativeSecurities...

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FINA222 Derivative Securities  Session 1: Overview 1
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Administrative Instructor: Jerome Yen, Visiting Professor, Dept.  of Finance e-mail:  jyen@ust.hk  or  risksolution@gmail.com   Tel: 2358-8204 Office: 4382B  Teaching Assistants: Mr. Wade Ho, Dept. of  Finance, e-mail:  wadeho@ust.hk    Office hours: 11:00 – 12:00 PM Mondays and  Wednesdays at Coffee Shop
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Class Schedule Week 1 : Overview of Options, Futures, and  Derivatives  Week 2 : Options and Warrants  Week 3 : Option Analysis and Modeling: The  Binomial Tree Approach  Week 4 : Option Trading Strategy (Announce  Term Project)   Week 5 : Black-Scholes-Merton Model for Option  Analysis    Week 6 : The Greeks and Hedging Strategies Week 7 : Exotic Options Week 8 : Mid-term 
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Class Schedule Week 9 : Forward and Futures Contracts  Week 10 : Introduction to Interest Rates  and the Value of Future Cash  Week 11 and Futures Prices (Term Project Due) Week 12 : Interest Rates, IR Forwards,  and Futures  Week 13 : Swaps  Week 14 : Course Wrap-up 
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Grading Mid-term: 30 percent  Final: 30 percent  Group project: 30 percent (up to four team  members) and will be announced in the  week 4. Participation: 10 percent 
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Resources Textbook John C Hull: Options, Futures, and Other  Derivatives, Prentice-Hall 2007 (7e)
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Introduction Finance is the study of risk.   How to measure it How to reduce it How to allocate it All finance problems ultimately boil down to three  main questions: What are the cash flows, and what is liquidity? Who gets the cash flows? What is the appropriate discount rate for those cash  flows? The difficulty, of course, is that normally none of  those questions have an easy answer. 7
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Motivation of Learning  Derivatives Index futures in China expect to launch  soon Then, index options will follow  Then, China markets will be changed from  one-direction into two-direction or even  multi-direction (just consider volatility) Many derivative products, or even  structured products, will come very soon, 
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1. Introduce the notion of risk and the role of  derivatives in managing risk. general terms used in finance – such as short/long positions, bid-ask  spread  1. Introduce the basic viewpoint needed  to analyze  these securities. 1. Introduce three major classes of derivative 
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Derivatives09-0 - Overview - FINA222DerivativeSecurities...

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