Derivative Securities


Lecture notes are based on the textbooks:

  1. Hull, John. 2014. Fundamentals of futures and options markets.  Pearson Global Edition
  2. Sundaram, Rangarajan and Das, Sanjiv R. 2011. Derivatives: Principles and Practice. McGraw-Hill Companies
Lecture 1: Introduction to Derivatives
Lecture 2: Interest Rates and Forward Rate Agreements
Lecture 3: The Pricing of Forward and Futures
Lecture 4: Futures Hedging Strategies and Interest Rate Futures
Lecture 5 Interest Rate and Currency Swaps
Midterm Examination I
Lecture 6: Stock Option Properties and Trading Strategies
Lecture 7: Binomial Trees
Lecture 8: Black-Scholes-Merton Model
Lecture 9: Options on Stock Indices and Currencies
Lecture 10: Option on Futures
Final Examination