The Derivatives-on-Line Pages

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Maintained by Kyriakos Chourdakis, QM University of London. Comments, etc. are very welcome. You can reach me here.

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Next: Introduction Up: Outline Previous: About this document Contents

The course

This course deals with the valuation and hedging of options, forward contracts, futures contracts and other derivatives.

Texts

The main textbook for the course is

$\begin{dinglist}{43} \item \textsc{John Hull}, \emph{Options, Futures and Other ... ...ed., Prentice-Hall International, \textsc{isbn}: 0-13-015822-4 \end{dinglist}$

Here are some other useful books. The necessary extracts that we will use will appear in the lecture notes; you don't have to buy them, unless you have some special interest in a particular topic. I would suggest that you ask me beforehand, since they can be quite costly.

$\begin{dinglist}{43} \item \textsc{N.H. Bingham} and \textsc{R\uml {u}diger Kies... ...um based derivative pricing in both discrete and continuous time] \end{dinglist}$

Outline by week

H: Hull Chapter
LN: Lecture Notes

Introduction; Futures Markets [H1, H2]
Forward and Futures [H3]
Interest Rates and Duration [H4]
Valuing Cash Flows; Risk Neutrality [LN]
Models of Asset Prices [LN, H9, H10]
Options [H6, H7]
Trading Stradegies [H8]
The Black-Scholes Model [H11]
Option of Indices, FX and Futures [H12]
The Greeks [H13]
Alternatives to the BS Model [LN, H17]
More Extensions [LN]

Assessment

There will be one assignment during the course of the year. Assessment will be as follows:

$\begin{dinglist}{46} \item Assignment 30\% \par\item Exam 70\% \end{dinglist}$

Kyriakos 2003-03-17