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: Stock Index and Currency Options

Lecture 10: Futures / Forward Options

Lecture 11: The Greek Letters

Final Examination

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