FIN9797, Options Markets
Professor: Liuren Wu
Semester and Session: Fall 2026, ONA (38170)
Office Hours: Thursdays: 3-4pm (liuren.wu@baruch.cuny.edu)
Overview
The class provides students with a basic understanding of the derivatives market, with a focus on options. The class will highlight the fundamental differences between valuing and investing in derivatives versus valuing and investing in primary securities and will introduce the concepts of replication, hedging, relative valuation, and arbitrage trading.
Readings
The required textbook for this class is: John Hull, Options, Futures, and Other Derivatives, 11th edition.
Class format: On line
The class will be delivered via a set of pre-recorded videos.
The midterm and final exams will be held online via brightspace.
Exams, grades, and class policies
There will be two exams: one midterm and one final. Exams are not cumulative, but the topics are built on each other.
Your course grade will be based on a weighted average of the two exams and class participation, with a 65% weight on the higher score and a 25% weight on the lower score of the two exams. Class participation accounts for 10% of your total grade. The class participation score is based mainly on your homework assignments on the brightspace.
The exams will be given on brightspace remotely with live zoom session. You can ask me clarifying questions via zoom chat in private during the exam. Make sure you are at a place with a stable internet connection and you have practiced enough on the brightspace assignments so that you don't have accidents managing the brightspace session, such as signing yourself out or submitting the exam early by accident.
The exams are open-book. You are expected to do the exam by yourself, but feel free to consult textbooks, lecture notes, and online materials. You are strongly recommended to do numerical questions in excel. You can prepare excel templates in advance for certain types of computation-intensive questions. Avoid rounding during intermediate steps so that your final answers match the solution exactly.
You must notify me one week in advance if you are unable to attend an exam. Otherwise, you will receive a zero for that exam. When you cannot make the exam for a valid reason, I will schedule a makeup date during the one week following the exam date.
Class Contents
Forwards and futures (slides, excel example)
General properties of options (slides, excel example)
Option strategies (slides)
Option pricing with binomial trees (slides, excel example)
The BMS model (slides, excel example)
P&L attribution and risk management (slides)
Beyond BMS: 2nd/3rd generation option pricing models (slides)