To complete the trading assignments you will have to

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To complete the trading assignments, you will have to i) Initiate the trade as described in the assignment, and ii) Rebalance the trade as prices move on subsequent days iii) Keep a log of your trades, profit and loss (P&L) iv) Summarize the trading performance in a final report On the completion of the assignment, you will submit a trading log. Problem Sets There will be several problem sets . Problem sets that are not turned in on time will get a mark of zero. When computing the component of the final grade, we will drop your lowest grade. You are not allowed to share offline or online problem set questions or solutions. They are for your personal use only. Class participation We will keep track of your class participation. The grade for this part of the class will be computed at our discretion. Actively participate in classroom discussions. Be prepared to be called to answer questions related to the course contents. Ask questions whenever something is not clear. Arrive on time and stay the entire duration of the class. Discussion sessions: TA leads the discussions. The main purpose of these discussion sections is to review assignments and to help you to prepare for the midterm and for the final exam. Attendance is optional but highly recommended, and students can choose which session to go. However, when the room is full, the priority is given to students who are enrolled in that session. Discussion sessions will be held in selected week, the schedule will be announced as the class progresses.
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5 Preliminary schedule The specific topics covered during each lecture/week may change as the class progresses. Any significant changed will be announced on the course website and/or in class. Weeks Topics Instructor* Readings** 1 Introduction, Trading stocks E 2-3 Stock market theory, Market aggregates, Spread trades E 3-4 Forwards and Futures, Interest rates B H 3,4,5 5 Equity options, Binomial model B H 10,12 6 Black-Scholes Model, Delta hedging E 7 Monte Carlo simulations E 7 Review B 8 Midterm Exam: Tuesday, October 25th (in class) 8 Option Greeks B H14 9 Implied volatility, Time varying volatility E 10 Trading volume, Long/short VIX E 11 Bonds, Interest rate swaps B H7 12 Value at risk E 13 Derivative disasters E 14 Further topics B/E 15 Review B 16 Final Exam: Monday, December 19th, 10:05AM – 12:05PM Room: TBA * E = Professor Eraker, B = Dr. Brendler. ** H = Fundamentals of futures and options markets , 8 th Edition, by John Hull; Pearson. The numbers in the table refer to the chapters in the 8 th edition of this book (be careful if you use other edition).
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  • Spring '16
  • Chang
  • Finance, ........., Professor Bjorn Eraker, Dr. Pavel Brendler

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