Derivatives BFW 2751 - Assignment

BFW2751 - Derivatives 1
S1, 2021
Lecture Week 1:
Introduction to Derivatives
and
Mechanics of Futures MarketChapters 1 and 2 in text book

About me
Assoc. Prof. Jothee Sinnakkannu, PhD (Finance)
Contact details:
Location: Room 6546, Level 5, Building 6A
Email: [e-mail]
Phone: [phone] (Ext: 46297)
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About this unit: BFW2751 Derivatives 1
The learning goals associated with this unit are to:
1) Discuss the operations of financial derivatives markets.
2) Evaluate the options and futures markets for hedging and trading purposes.
3) Demonstrate how to price and value Futures and Options contracts and other derivative
instruments.
4) Implement trading strategies and measure profitable positions.
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An Overview on BFW2751
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W2
Hedging Strategies
using Futures
Contracts
W3
Determination
of Forwards and
Futures Price
W4
Interest Rate Futures
• Eurodollar Futures
• BAB Futures
W5
Mechanics of
Options Market
W6
Properties of
Stock Options
W7
Trading Strategies
involving Options
W8
Pricing Options:
Binomial
Models
W9
Pricing Options:
Black-Scholes-
Merton Model
W10
Options on Stock
Indices,
Currencies &
Futures
W11 & 12
Greek Letters in
Options and Revision
of the Unit
W1
Mechanics of
Futures Market

Unit preview
• Please read it !!!
▪ Contain all essential information
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BFW2751 Assessments S1, 2021
1) In-semester Exam 1: to be released on April 1 @9.00am and due at April 1 @ 5.00pm , 2021
Weighting/Value: 20%
Details of Test: The test will consist of multiple choice and short answer questions. The questions may require
computation, analytical derivation and description of institutional features regarding Futures/Forward and Swap
contracts. This is an open book online test.
Additional information: This assessment will cover topics from weeks 1 to 4.
2) In-semester Assignment: released on 23rd April and due on 30th April @ 5.00pm, 2021
Weighting/ Value: 10%
Details of the assignment: To structure the payoff tables and graphs for option hedging strategies.
3) In-semester Exam 2: Released on 17th May 9.00am and Due on 17th May @ 5.00pm, 2021
Weighting/Value: 20%
Details of Test: The test will consist of multiple choice questions. The questions may require computation,
analytical derivation and description of institutional features regarding Options contracts. This is an open book
online test.
Additional information: This assessment will cover topics from all weeks until Week 10
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Assessments
▪Final Examination
Weighting: 50%
Length: 2 hours
Type (open/closed book): Open book online exam
Hurdle requirements (where applicable): 45%
Electronic devices allowed in the exam: Standard calculator approved for use by School.
• Exam details: Exam will cover topics from all weeks.
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Learning resources
▪ Textbook: Hull, J. (2014). Options, Futures, And Other Derivatives (9th ed.). Pearson
Education.
▪ Lecture slides are available for download on Moodle a few days before the lecture. Please
print out one copy for yourself.
▪ Tutorial questions are available 1 week in advance, with suggested solutions at the end of
each week.
▪ Week 1 tutorial is not compulsory. The content of this lecture will be discussed in tutorial
week 2.
▪ Additional readings (journal articles, news articles, blogs) are encouraged. They are not
examinable, but helpful for your learning.
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