Objective of Study
This course comprehensively and systematically introduces the theory and practical application of financial derivatives, with topics that are easy to understand and rich in content, including forwards, futures, interest rate swaps, foreign exchange swaps, ordinary options, exotic options and other commonly used in international and outside markets. This course can help students gain an in-depth understanding of financial markets, master the principles, functions and operating mechanisms of various derivatives, improve risk management skills, and develop a focus on market fluctuations and risks.
Features
This course is widely used in the industry. The knowledge of the derivatives course is widely applicable to learners engaged in finance, investment, risk management and other industries, providing strong support for their future career development.
This course cultivates learners' quantitative analysis capabilities, studying derivatives courses can cultivate quantitative analysis skills, enabling them to use mathematical and statistical methods to analyze financial markets.
This course helps to improve market sensitivity, enabling learners to capture market changes more keenly, make timely decisions, and thus better respond to the challenges of the financial market.
Contents
Chapter 1 Introduction
1.1：Course Introduction I
1.2：Course Introduction II
Chapter 2 Mechanics of Futures Markets
2.1：Specifications of a Futures Contract
2.2：Convergence of Futures Price and Operation of Margins
2.3：Market Quotes, Delivery, and Order Types
Chapter 3 Hedging Stategies Using Futures
3.1：Basic Principals
3.2：Basis Risk
3.3：Cross Hedging, Stock Index Futures, Stack and Roll
Chatper 4 Interest Rates
4.1：Interest Rates Measurement, Zero Rates and Bond Pricing
4.2：Zero Rates and Forward Rates
4.3：Duration, Convexity, and Theories of Term Structure
Chapter 5 Determination of Forward and Futures Price
5.1：Determination of Forward Price
5.2：Valuation of Forward Contracts
5.3：Futures on Stock Indices, Currencies, and Commodities
Chapter 6 Interest Rate Futures
6.1：Treasury Bond Futures
6.2：Eurodollar Futures
Chapter 7 Swaps
7.1：Mechanics of Interest Rate Swaps
7.2：The Comparative-advantage argument
7.3：Valuation of Interest Rate Swaps
7.4：Currency Swaps
Chapter 8 Mechanics of Option Markets
8.1：Introduction to Options
8.2：Option Positions and Underlying Assets
8.3：Exchange-traded Options and Over-the-counter Options
8.4：Option Value
8.5：Trading and Settlement
Chapter 9 Properties of Stock OPtions
9.1：Factors Affecting Option Prices
9.2：Bounds for a Call Option Price
9.3：Bounds for a Put Option Price
9.4：Put-call Parity
Chapter 10 Trading Strategies Involving Options
10.1：Covered Call Strategy
10.2：Protective Put and Collar Strategy
10.3：Bull Spreads using Calls and Puts
10.4：Bear Spreads and Butterfly Spreads
10.5：Combinations
Chapter 11 Binomial Trees
11.1：A One Step Binomial Model
11.2：Risk-neutral Valuation and Two-step Binomial Trees
11.3：Two-step Binomial Trees for Put Options
11.4：Options on Other Assets
Chapter 12 The Black-Scholes-Merton Model
12.1：Introduction and Assumptions of the BSM Model
12.2：BSM Model
12.3：BSM Model Extensions
12.4：BSM Model for Stock Index and Currencies
Chapter 13 Futures Options
13.1：Futures Options Introduction
13.2：Put-call Parity for Futures Options
13.3：Valuation of Futures Options using Binomial Trees
Chapter 14 The Greek Letters and Volatility
14.1：Option Greeks and Volatility Delta
14.2：Option greeks theta, vega, rho, gamma
14.3：Estimating Volatility
Assessment
• Practice Settings
• Videos (%)：20
• PPT ( %) : 10
• Discussions(%)：10
• Unit Tests( %): 30
• Final Exam (%)：30
Teaching Materials
Options, Futures and other Derivatives, John C. Hull. 9th Edition. Qinghua University Press, 2020.
Options as a Strategic Investment, Lawrence G. McMillan, 5th Edition. Prentice Hall Press, 2012.
