Syllabus

Lecture Notes

• Risk and Return
• Diversifiable versus Market Risk
• Security Market Line and CAPM
• Time Value of Money
• Bonds and Their Valuation
• Interest Rate and Maturity Risk on Bonds
• Common Stock Valuation
• Common Stock Valuation and CAPM
• Sample Midterm 1
• Stock Valuation with Non-Constant Dividend Growth
• Cost of Capital (WACC)
• Choice between External and Internal Equity
• Capital Budgeting
• Review of Decision Rules in Capital Budgeting
• Derivatives and their Use in Risk Management
• Sample for Final

 

 

SUMMER 2009

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ECO 4378, Financial Derivatives

Syllabus

• Forward Contracts  
• Call and Put Options  
• Simple Examples of Options Portfolios
• Put-Call Parity, Lower Bounds on Put and Call Prices   
• Arbitrage when Put and Call are Underpriced  
• Basic Trading Strategies Involving Options
• Sample Problems  
• Binomial Tree Option Valuation  
• Old Midterm 1
• Hedging with a Put Option on The Market Index
• Designing an Interest Rate Swap  
• Duration Matching with a Swap to Immunize Interest Rate Risk 
• Some Examples of Exotic Options: Asset or Nothing Call, Cash or Nothing Call, As You Like it Option, Shout Option
• Position Delta
• Old Final from Fall 2007