DERIVATIVEPRODUCTSANDRISKMANAGEMENTDescriptionThiscoursebuildsonthematerialcoveredinOptionsandFuturesMarkets.Itexaminesabroadrangeofderivativeproductsanddiscusseshowrisksaremanagedbythemiddleofficeofafinancialinstitution.Attheendofthecoursestudentsshould(a)befamiliarwithmostoftheproductsthattheyarelikelytoencounterinfinancialmarketsand(b)understandhowmarketriskandcreditriskisquantifiedbybanksandotherfinancialinstitutions.RequiredReadingsHull,JohnC.Options,Futures,andOtherDerivatives,9thEdition,Hull,JohnC.SolutionsManualforOptions,Futures,andOtherDerivatives,9thEdition,AssignmentsTherearethreehand-inassignmentsduringthesemester:Assignment1:15.29a,19.29,20.25,21.25,21.27,26.26,26.27,26.29,26.33(dueweek5)Assignment2:22.17,22.19,22.21,22.22,23.17,23.18,23.20,23.21,24.27(dueweek9)Assignment3:24.28,25.24,25.25,25.31,27.23,29.23,29.24,33.10,33.12(dueweek14)AssessmentAssignment115%Assignment215%Assignment315%FinalExam55%Thefinalexaminationwillnotbeopenbook.Youwillbepermittedatwo-sided“cheatsheet”withnotesand/orformulae.ScheduleWeek1:Week2:Reviewofstandardproductsandmodels;Chapters15,17,and18ReviewofGreeklettersandvolatilitysmiles;Chapters19and20Week3:Binomialtrees(review)andMonteCarlosimulation21.1to21.7Week4:Exoticoptions;Chapter26Week5:Valueatrisk;Chapter22Week6:Estimatingvolatilitiesandcorrelations;Chapter23Week7:Creditrisk;Chapter24Week8-9:Creditderivatives;Chapter25Week10:BondOptionsandConvertibles;Sections27.4and29.1Week11:Europeaninterestrateoptions;Sections29.2to29.5Week12:Nonstandardswaps;Chapter33Week13Energyandcommodityderivatives;Chapter34Week14:Realoptions;riskandreturnChapter35Week15:Reviewofcourse;Chapter36
