Derivative Securities Notes

 Course Outline:  FEModuleOutline.pdf

JoannesDepression.pdf

LECTURE NOTES

Lecture Notes Options: FEOptions.pdf

Lecture Notes Trading Strategies:  FETradingStrategies.pdf

Options Graphs: FEOptions_graphs.pdf

Lecture Notes Binomial Option Pricing Model (Calls): FEBinomlOptMod.pdf

Lecture Notes Binomial Option Pricing Model (Puts): FEBinomialOptionModelPut.pdf

Lecture Notes  Black and Scholes Model: FEBlackScholes.pdf

Lecture Notes Duration of Bonds: FEDuration1.pdf

Lecture Notes Forwards and Futures: FEForwards_Futures.pdf

Lecture Notes Asian and Other Options; Swaps FEOptionsExtra.pdf

Forwards and Futures/Options Graphs FEForwardsFutures_Options_graphs.pdf

EXTRA NOTES

Notes 1 (Options):  FELN1.pdf

Notes 2 (Trading Strategies 1): FEln2.pdf

Notes 3 (Trading Strategies 2): FEln3.pdf

Notes 4 (Binomial Model): FELN4.pdf

Notes 5 (Black and Scholes model 1): FELN5.pdf

Notes 6 (Black and Scholes model 2): FELN6.pdf

Notes 7 (The Greeks): FELN7.pdf

Notes 7a  Greeks: FEGreeks.pdf

Notes 8 (Term Structure/Expectation Hypotheses): FELN8.pdf

Notes 8a Term Structure: FETermStructure1.pdf

Notes 9 (Duration of Bonds):  FELN9.pdf

PROBLEM SETS

Problem Set 1 (Options): FEProblemSet1OptionsSolutions.pdf

Problem Set  2 (Trading Strategies): FEProblemSet2TradSolutions.pdf

Problem Set 3 (Binomial Option Model): FEProblemSetBOPMSolutions.pdf

Problem Set 4 (Black and Scholes Formula): FEProblemSetBS.pdf

Problem Set 5 (Term Structure): FEProblemSetTS.pdf

Problem Set 6 (Forwards and Futures): FEProblemSetForwards_Futures.pdf

EXAM PAPERS

Specimen Exam 2006-2007: FESpecimenExam2007.pdf

Specimen Mid-term exam 2007-2008: SpecimeMidtermExam0708.pdf