1. Course Outline

2. Tutoring Course:

Tuesday 4pm-6pm, OBS230

Wednesday 4pm-6pm, OBS230

3. Office Hour: Friday 3pm-3:50pm, OBS3.30

4. Course Schedule

Week 1

11 Jul 2019, Lecture 1: Introduction

Review Questions for Lecture 1

Week 2

18 Jul 2019, Lecture 2: Option Strategies and Static Replication

Review Questions for Lecture 2

Week 3

25 Jul 2019, Lecture 3: No-Arbitrage Principle and Forward Price Formula

Review Questions for Lecture 3

Week 4

1 Aug 2019, Lecture 4: The Current Value of a Forward Contract and Futures Trading

Review Questions for Lecture 4

Assignment 1 covers Lectures 1, 2, 3 and 4. It is due in class on 8 Aug 2019.

Week 5

8 Aug 2019, Lecture 5: Forward Rate and Forward Rate Agreements

Dynamic yield curve

Review Questions for Lecture 5

Week 6

15 Aug 2019, Lecture 6: Swaps

Review Questions for Lecture 6

Week 7

22 Aug 2019, Midterm exam in ARCH1 at 3pm-4:50pm

Review Questions for midterm exam.

Mid-Semester Break

29 Aug 2019, No class

Week 8

5 Sep 2019, Lecture 7: Model-Free Relationships between Option Prices

Review Questions for Lecture 7

Week 9

12 Sep 2019, Lecture 8: Binomial Tree Model: One-Period

Review Questions for Lecture 8

Week 10

19 Sep 2019, Lecture 9: Binomial Tree Model: Multiple-Period

Review Questions for Lecture 9

Week 11

26 Sep 2019, Lecture 10: The Black-Scholes Model

Review Questions for Lecture 10

Assignment 2 covers Lectures 7, 8, 9 and 10. It is due in class on 3 Oct 2019.

Week 12

3 Oct 2019, Guest Lectures:

New Zealand Whole Milk Powder Options by Beam

Gram-Charlier Densities by Wei Lin

Week 13

10 Oct 2019, Review of Lectures 1-6 by Beam

Review of Lectures 7-10 by Wei Lin

Q&A