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    FINA 3204: Derivative Securities Spring 2015: Course Objectives

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    Billy
    This document outlines the details of the FINA 3204: Derivative Securities course offered in Spring 2015 at Hong Kong University of Science and Technology. The course provides an introduction to various derivative instruments including forwards, futures, options, and swaps. It is taught by Prof. Andrew Chiu and includes assignments, quizzes, exams, and an optional simulated trading exercise to evaluate student understanding of derivative pricing models and their real-world application. Course topics cover the mechanics and valuation of different derivatives based on assigned textbook chapters.

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    FINA 3204: Derivative Securities Spring 2015: Course Objectives

    Uploaded by

    Billy
    112 views3 pages
    This document outlines the details of the FINA 3204: Derivative Securities course offered in Spring 2015 at Hong Kong University of Science and Technology. The course provides an introduction to various derivative instruments including forwards, futures, options, and swaps. It is taught by Prof. Andrew Chiu and includes assignments, quizzes, exams, and an optional simulated trading exercise to evaluate student understanding of derivative pricing models and their real-world application. Course topics cover the mechanics and valuation of different derivatives based on assigned textbook chapters.

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    FINA 3204

    Original Title

    Syllabus_FINA3204_Spring2015

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    This document outlines the details of the FINA 3204: Derivative Securities course offered in Spring 2015 at Hong Kong University of Science and Technology. The course provides an introduction to various derivative instruments including forwards, futures, options, and swaps. It is taught by Prof. Andrew Chiu and includes assignments, quizzes, exams, and an optional simulated trading exercise to evaluate student understanding of derivative pricing models and their real-world application. Course topics cover the mechanics and valuation of different derivatives based on assigned textbook chapters.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    112 views3 pages

    FINA 3204: Derivative Securities Spring 2015: Course Objectives

    Uploaded by

    Billy
    This document outlines the details of the FINA 3204: Derivative Securities course offered in Spring 2015 at Hong Kong University of Science and Technology. The course provides an introduction to various derivative instruments including forwards, futures, options, and swaps. It is taught by Prof. Andrew Chiu and includes assignments, quizzes, exams, and an optional simulated trading exercise to evaluate student understanding of derivative pricing models and their real-world application. Course topics cover the mechanics and valuation of different derivatives based on assigned textbook chapters.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 3

    FINA 3204: Derivative Securities

    Spring 2015
    Department of Finance
    Hong Kong University of Science and Technology

    Instructor:

    Prof. Andrew Chiu

    ([email protected])

    Office Hours:

    By appointment

    Course Website:

    http://lmes.ust.hk

    Course Feedback:

    http://fina3204.andrewchiu.com (anonymous)

    Teaching Assistant:

    Mandy So ([email protected])

    Venue:

    G007, LSK

    Schedule:

    L1: Tue & Thu (16:30-17:50)


    L2: Tue & Thu (15:00-16:20)
    Feb 3 to May 7, 2015

    Course Objectives:
    This course provides practical working knowledge of various derivatives including
    forwards and futures, options, and swaps. The students will learn how derivatives are
    traded, how to evaluate payoffs for investors, and understand how to value them.
    Examples will be provided to show how the models and principles are applied to
    real-world problems.

    Textbook and Course Materials:


    John C. Hull, Options, Futures, and Other Derivatives, 8nd Edition, Pearson
    The textbook is required and will be made available at the university bookstore.
    Additional materials (slides, articles, etc) will be posted on the course website.

    Grading:
    1.
    2.
    3.
    4.

    Assignments (five in total)


    Pop Quizzes (lowest score dropped)
    Mid-term Exam
    Final Exam

    25%
    10%
    25%
    40%

    Late assignments will be penalized 25% per day.


    Class participation is important, but not graded. For marginal cases, a bonus may be
    given for active participants.

    Pop Quizzes:
    Short quizzes will be given out at the end of a few select lectures. Students will not
    know in advance which lectures will have quizzes. The lowest quiz score will be
    dropped.

    Simulated Trading Exercise (option):


    You need hands-on experience to better understand how derivatives work. Ive set up a
    simulated trading platform for you to trade derivatives without risking real money.
    This is an optional assignment. I encourage everyone to practice trading while you are
    going through the course. I will send out invitations on how to set up the trading
    account. The system we use is a real trading platform used by professional traders.

    Course Topics:
    Topic Name

    Assigned Textbook Chapters (8th ed.)

    Introduction to Derivatives
    Continuously Compounded Interest Rate

    1.1-1.10
    4.2

    Forwards and Futures


    Market Mechanics

    2.1-2.4, 2.6, 2.7, 2.11

    Forwards and Futures


    Hedging Strategies
    Pricing

    3.1-3.3, 3.6
    5.1-5.7, 5.9-5.12

    Options
    Market Mechanics

    9.1-9.4, 9.7, 9.8, 9.11

    Options
    Properties of Stock Options

    10.1-10.7

    Options
    Trading Strategies

    11.2-11.4

    Options
    Pricing: Binomial Tree Model
    Modeling Stock Returns and Volatility

    12.1-12.9
    14.1, 14.2, 14.4

    Options
    Pricing: The Black-Scholes-Merton Model
    Implied Volatility
    Volatility Smile

    14.5, 14.8, 14.9


    14.11
    19.1-19.3, 19.5

    Options
    Options on stock indices and currencies
    Futures Options
    Binomial Tree for options on dividend-

    16.1-16.6
    17.1,17.4-17.6,17.8
    20.3

    paying stocks
    Options
    The Greek Letters
    Delta Hedging
    Other Derivatives
    Swaps

    18.1-18.14

    7.1, 7.4, 7.7, 7.9, 24.1

    Other Derivatives
    Warrants, Callable Bull/Bear Contracts
    Convertible Bonds
    Equity-Linked Notes

    Library Resources:
    Wall Street Journal (full online version)
    Bloomberg Station (library reservation)
    Reuters Eikon (remote access)

    library.ust.hk/cgi/db/pw.pl?wsj
    lbpcbook.ust.hk
    library.ust.hk/cgi/db/xtra.pl

    Useful Websites:
    Hong Kong Exchange
    Chicago Board Options Exchange (CBOE)
    Chicago Mercantile Exchange (CME)
    Bloomberg
    Reuters
    Yahoo Finance
    Google Finance

    www.hkex.com.hk
    www.cboe.com
    www.cmegroup.com
    www.bloomberg.com
    www.reuters.com
    finance.yahoo.com
    finance.google.com

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