FIN 471: DERIVATIVE SECURITIES
INSTRUCTOR: Riaz Hussain OFFICE: 431 Brennan Hall
OFFICE HOURS: Monday and Wednesday, 1:00 - 2:55 PM. Other office hours by appointment.
TELEPHONE: Office 941-7497, secretary 941-4048, FAX: 941-4825, home 347-8077, e-mail: Send an email
OBJECTIVES: After taking this course, the students will be able to
1. Use Maple as a tool for financial analysis.
2. Understand the nature of derivative securities.
3. Understand the basic principles of options valuation.
4. Use the Black-Scholes option pricing model.
5. Understand the nature of Treasury securities and their relationship to options.
6. Measure the volatility of a stock.
7. See some of the extensions of the Black-Scholes model.
8. Understand the risk-return tradeoff for simple and complex option strategies.
9. Understand and apply the binomial option pricing model.
10. Apply options in portfolio protection.
CATALOGUE DESCRIPTION: The course develops the theory of option pricing based on the Black-Scholes model. It then applies these ideas to the use of options in investment strategies and in portfolio management. The students get hands-on experience with real-time data to assess the feasibility of various investment opportunities in options markets.
TEXT: Derivative Securities, by Riaz Hussain, University of Scranton, Scranton, PA, August 201. The sale of this book supports a scholarship at the University.
The students taking this course should read the Wall Street Journal or the New York Times on a daily basis. They should be able to find the financial data, such as the stock prices, beta and volatility of stocks, interest rates, and option prices on the Internet.
PREREQUISITES: FIN 351, Introduction to Finance. Knowledge of calculus is helpful.
|First: September 28, 2011||Second: November 2, 2011|
|Third: November 30, 2011||Final: TBA|
All tests will be closed book, but the students are allowed to bring a formula sheet.
GRADING POLICY: The students’ grades will depend upon their mastery of the subject matter as evidenced by their performance in tests and classroom participation.
Derivative Securities; Option Valuation
Put-Call Parity Theorem; Maple
Black-Scholes Option Pricing Model
|5||Extension of Black-Scholes Model||8|
|6||Review and Discussion|
|11||Binomial Option Pricing Model||11|
|13||Review and Discussion|
- FIN 351: Introduction to Finance
- FIN 361: Working Capital Management
- FIN 470: Capital Investment and Structure
- FIN 471: Derivative Securities
- FIN 508: Financial Management
- FIN 582: Advanced Financial Management
- FIN 583: Investment Analysis
- FIN 585: Derivative Securities
- FIN 586: Portfolio Theory
- MBA 503C: Finance Module (Online)
- FIN 508: Financial Management (Online)
- Pakistani Students
- Bangladeshi Students
- MBA Program
- Graduate Assistantships