SUFFOLK UNIVERSITY

SCHOOL OF MANAGEMENT
FIN-814-AE: OPTIONS AND FUTURES
SPRING 2015
Instructor: Natalia Beliaeva
Office: Sawyer 826
Office Hours: Wed 3:30-4:15PM or by appointment
E-mail: natalia_beliaeva@yahoo.com, nbeliaeva@suffolk.edu
Class Meeting Time: Wed 4:30PM-7:10PM
Classroom: S522
COURSEOBJECTIVE
Thegoalofthecourseistoprovideaframeworkforunderstandingderivativesecuritiesand
theiruseinmanagingfinancialriskandtointroducestudentstothevaluationoffuturesand
optionscontracts.
COURSECONTENT
Thecoursewillessentiallybeintwoparts:onforwardsandfuturesderivativesecurities
withlinearpayoffs;andonoptionsderivativesecuritieswithnonlinearpayoffs.Therewill
alsobediscussionofthefunctioningofderivativemarkets.
1. Introduction
Overview
2. Forwards and futures
Contracts
Markets
Valuation
Hedging
Interest rate futures
3. Swaps
4. Options
Options contracts and markets
Properties of options
Option valuation - binomial model
Option valuation - Black/Scholes
PREREQUISITES
FIN808(GeneralTheoryinCorporateFinance),FIN810(InvestmentAnalysis)

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REQUIREDTEXT
Option, Futures and Other Derivatives, John Hull, Prentice Hall, 9th edition.
COURSEREQUIREMENTS
1. Class Participation - Students are expected to be familiar with the relevant material
from the text and problems prior to the discussion in class. Participation in class
discussion will be factored into grades in marginal cases. Students are responsible for
all announcements made in class.
2. Exams - Two exams will be given, a midterm and a final exam. Final exam will be
cumulative. No makeup exams will be offered unless in extreme circumstances and only
if arranged in advance.
3. Problem sets You will be assigned 4 homeworks. These problem sets will be graded.
No late homeworks will be accepted. Students are encouraged to work on these
problem sets in groups of 2-3. Only one write-up per group should be handed in to be
graded.
4. Futures project The project will involve simulation of trading of futures contracts.
The details of the project will be announced separately (posted on Blackboard). This is
an individual project.
5. Derivatives project The project will involve writing a short paper on a derivative
security or trading strategy not covered by the slides and making a 10-15 minute
presentation at the end of the semester. The details of the project will be announced
separately. Students are encouraged to work on the project in groups of 2-3.
GRADING
1. Futures Project
2. Derivatives Project
3. Presentation
4. Problem sets
5. Midterm exam
6. Final exam

10%
10%
10%
20%
20%
30%

COMMENTS
Thiscoursewillrequireextensivecomputations,thereforeyouarerequiredtobring
calculatorstoclass.Theworkloadinthiscoursewillrequiretheinputofsubstantialtime
andeffort.Ifyouneedhelpatanypoint,please,contactme.Feelfreetostopbymyoffice
duringscheduledofficehoursormakeanappointmentforadifferenttime.Youcanalsoe
mailmeyourquestionsatanytimeandIlltrytohandlethemasfastasIcan.Allclass
relatedmaterialwillbepostedonBlackboard.

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COURSEOUTLINE
(tentativesubjecttochange)
Spring,2015
Topicsandreadingsfromthebook
Introduction,Ch.1

Assignments/Exams

MechanicsofFutures,Ch.2
HedgingUsingFutures,InterestRates,
Ch.34
Interest Rates (cont.), Determination of
Forwards and Futures Prices, Ch. 4-5

ProblemSet1isdue

InterestRateFutures,Ch.6

FuturesProjectPartI
isdue

Swaps,Ch.7,Ch33
Mar4

FinancialCrisisof2007,Credit
Derivatives,Ch.8,25
MidtermExamReview

ProblemSet2isdue

MidtermExam
MechanicsofOptionsMarkets,
TradingStrategies,ExoticOptionsCh.
10,12,26

DerivativesProject
topic&team
compositionisdue.

PropertiesofOptions,Ch.11

FuturesProjectisdue

BlackScholesOptionPricing,
VolatilitySmile,Ch.14,15,20

ProblemSet3isdue

MonteCarloProcedure,Binomial
OptionPricing,Ch.13,Ch.21

May6

HedgingwithOptions,Greeks,Ch.19

ProblemSet4isdue

DerivativesprojectPresentations
FinalExamReview

DerivativesProjectis
due
Presentationslidesare
dueonApr28
FinalExam

5:40pm7:30pm,roomS522

*Please,notetheimportantdatesandtimeofmidtermandfinalexamaswellas
homeworkassignments.

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DisabilityServices:Ifyouanticipateissuesrelatedtotheformatorrequirementsof
thiscourse,pleasemeetwithme.Iwouldlikeustodiscusswaystoensureyourfull
participationinthecourse.Ifyoudeterminethatformal,disabilityrelatedaccommodations
arenecessary,itisveryimportantthatyouberegisteredwiththeOfficeofDisabilityServices
(locatedin73TremontSt.,7thfloor,6179946820)andnotifymeofyoureligibilityfor
reasonableaccommodations.Wecanthenplanhowbesttocoordinateyouraccommodations.
Studentsupport:Asastudent,youmayexperiencearangeofissuesthatcancause
barrierstolearning,suchasstrainedrelationships,increasedanxiety,healthissues,
alcohol/drugproblems,feelingdown,difficultyconcentrating,lackofmotivation,orfeeling
ill.Theseconcernsorotherstressfuleventsmayleadtodiminishedacademicperformanceor
mayreduceyourabilitytoparticipateindailyactivities.SuffolkUniversityservicesare
availabletoassistyouinaddressingtheseandotherconcernsyoumaybeexperiencing.You
canlearnmoreaboutthebroadrangeofmedicalservicesandconfidentialmentalhealth
servicesavailableoncampusatthefollowingwebsites:
CounselingCenterhttp://www.suffolk.edu/offices/989.html
OfficeofHealthandWellnessServiceshttp://www.suffolk.edu/offices/932.html
ThiscoursefollowstheFederalGovernmentsCreditHourdefinition:Anamountof
workrepresentedinintendedlearningoutcomesandverifiedbyevidenceofstudent
achievementthatisaninstitutionalestablishedequivalencethatreasonablyapproximatesno
lessthan:(1)Onehourofclassroomordirectfacultyinstructionandaminimumoftwohours
ofoutofclassstudentworkeachweekforapproximatelyfifteenweeksforonesemesteror
trimesterhourofcredit,ortentotwelveweeksforonequarterhourofcredit,orthe
equivalentamountofworkoveradifferentamountoftime;or(2)Atleastanequivalent
amountofworkasrequiredinparagraph(1)ofthisdefinitionforotheracademicactivitiesas
establishedbytheinstitutionincludinglaboratorywork,internships,practica,studiowork,
andotheracademicworkleadingtotheawardofcredithours.
AcademicIntegrity:Cheatingonexaminations,plagiarismand/orimproper
acknowledgmentofsourcesinessaysorresearchpapers,andtheuseofasingleessayor
paperinmorethanonecourse,withoutthepermissionoftheinstructor,constitute
unacceptableacademicconduct.Studentworkmaybecheckedbyplagiarismdetection
software.Astudentwhohasbeenfoundtohaveviolatedthisruleafteradjudicationbythe
DeanofStudentsissubjecttoanautomaticgradeofFinthecourseandtosuspension,
enforcedwithdrawal,orexpulsionfromtheUniversityorappropriatelesserpenaltiesif
warrantedbythecircumstances.