MBA 642 Financial Derivatives
F2P 2010 DL
Assistant Professor of Finance
Ph.D. – Texas A&M UniversityM.S. – University of Nebraska - Lincoln
Monday - Friday, 8:30 AM - 5:00 PM
Fundamentals of Derivatives Markets, 1st Edition by Robert McDonald, by Pearson/Prentice Hall
Textbooks can be purchased through the MBS bookstore
Textbooks can be purchased through the Parkville Bookstore
Fundamentals of Futures and Options Markets, 6th Edition, John C. Hull, Pearson, Prentice Hall
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Educational Philosophy: The financial derivatives are one of the constantly changing and widely used instruments in today’s financial markets. This course provides the student with the necessary skills to value and to use options, futures, and related financial contracts. In order to help students to better understand the subjects, option pricing exercises and market-related timely topics will be conducted. In the end of the semester, students should be able to analyze derivatives markets and come up with reasonable answers to those problems.
Learning Outcomes: Core Learning Outcomes
Homework problems are assigned for every week. Students are urged to work on those problems. I will collect all assignments on the due dates during the session. The assignments should be turned in through the Dropbox of eCompanion. Late submissions are not acceptable and will not be graded. Students may discuss the homework assignment with their classmates; however, all written work must be of their own. The assignments will be graded based on your efforts, not totally based on correct answers.
A case study will be prepared by a pre-designated group of 2 or 3 students depending on the size of the class. Each group should present a background on the topic dealt in the course, answer all questions relevant to the case, including questions from other groups, and furnish a written report. The total amount of work involved in a case presentation should be divided as equally as possible among the members in the group. The instructor will evaluate the performances in each group’s case analysis. Other groups will also view and comment the results of the case.
There will be 2 Tests and a comprehensive final exam during the semester. The exams will consist of multiple-choice problems and application questions. Students are expected to take examinations at the scheduled times. There will be no make-up exams. Remedies are possible, but only in documented, urgent, and compelling circumstances, and only if the instructor has been informed in advance.
Students need to select one topic related to the financial derivatives subject. The project/paper proposal is due on week 5. Students will receive the comments before preceding the final paper. The final paper will be due on week 8.
Grades will be based on completion of the required assignments as well as exams. Grades will be awarded according to the following schedule:
Homework (7 HW, each 20 pts) 140 points
Project/Paper 150 points
Discussion Questions (Best 6, Each 10 pts.) 60 points
Below 450 F
All final exams will be comprehensive and will need to be finished within the time constraint.
Late Submission of Course Materials:
Please submit your work on the date indicated in the assignment section. If you are not going to meet the due date, contact me before the due date to make any arrangements for a late paper. Any work submitted late without prior coordination with me will lose 10 percentage points for each day the work is late.
Excused absences can be granted by the instructor for medical reasons, school sponsored activities, and employment-related demands including temporary duty. The student is responsible for completing all missed work. Absences in excess 2 weeks in a term will be reported to the Dean for appropriate action. Any student fails to attend class for two consecutive weeks, without an approved excuse, will be institutionally withdrawn (unofficially withdrawn) and notified by mail that an "F" will be recorded.
Classroom Rules of Conduct: The Website will be monitored for each student’s class activities every week. This will be served as the class participation for the student.
Week 1 (Oct. 18-22)
Introduction to Mechanics of Derivatives Markets
Online Discussion Questions (posted on the web)
Readings: Ch. 1 & 2
Concept Questions and internet Exercise (posted on the web)
Problems-Solving: 1.5, 1.8, 1.9,2.1, 2.4, 2.13, 2.14
(Questions and Problems are due on Oct. 23)
Week 2 (Oct. 25-29)
Insurance, Collars, and Other Option Strategies
Online Discussion Question (posted on the web)
Problems-Solving: 3.1, 3.2, 3.5, 3.7, 3.10
(Questions and Problems are due on Oct. 30)
Week 3 (Nov. 1-5)
Derivatives in Risk Management
Test 1 (Ch.1-4)
Reading: Ch. 4
Problems-Solving: 4.1, 4.3, 4.5, 4.6
(Questions, Problems, and Test are due on Nov. 6)
Week 4 (Nov. 8-12)
Financial Forwards, Futures, and Applications
Readings: Ch. 5 & 6
Problems-Solving: 5.2, 5.3, 5.5, 6.1, 6.3, 6.5, 6.7
(Questions and Problems are due on Nov. 13)
Week 5 (Nov. 15-19)
Interest Rate Forwards and Futures
Reading: Ch. 7
Problems-Solving: 7.2, 7.5, 7.9, 7.11
(Questions, Problems, and Project/Paper proposal are due on Nov. 20)
Week 6 (Nov. 22-26)
Test 2 (Ch.5-8)
Reading: Ch. 8
Problems-Solving: 8.1, 8.2, 8.4, 8.6
(Questions, Problems, and Test 2 are due on Nov. 28)
Week 7 (Nov. 29-Dec. 3)
Put-Call Parity and Other Option Relationships
Reading: Ch. 9
Problems-Solving: 9.1, 9.3, 9.4, 9.7
(Questions and Problems are due on Dec. 4)
Week 8 (Dec. 6 -10)
Final Exam: Comprehensive (Ch. 1-9)
Project/Paper and Final Exam are due on Dec. 11
*Note: Instructor reserves the right to change the subjects due to the progress of the class and unforeseen circumstances.
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Park University 2010-2011 Graduate Catalog Page 20
Instructors are required to maintain attendance records and report absences. Excused absences can be granted by the instructor, for medical reasons, school sponsored activities, and employment-related demands, including temporary duty. Students are responsible for any missed work. Absences for two successive weeks, without approved excuse, will be reported to the Director of the individual graduate program, or to the Executive Director for the Graduate School, for appropriate action. Students with such a record of absences, without an approved excuse, may be administratively withdrawn from the class and notified that an "F" will be recorded, unless the student initiates official withdrawal from the class(es).Park University 2010-2011 Graduate Catalog Page 24
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Last Updated:10/3/2010 8:03:57 AM