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1、ADVANCmDfflVATVESDescriptionThiscoursebuildsonthematerialcoveredinOptionsandFuturesMarkets.Itisintendedforstudentswhohaveaquantitativebackgroundandareinterestedinenhancingtheirknowledgeofthewayinwhichderivativescanbeanalyzed.RequiredReadingsHull,JohnC.Options,Futures,andOtherDerivatives,9fhEditionHu
2、ll,JohnC.SolutionsManualforOptions,Futures,andOtherDerivatives,yEditionAssignmentsTherearethreehand-inassignmentsduringthesemester:Assignment1:14.13,14.14,14.16,15.27,15.29,21.26,21.28,21.30(dueweek5)Assignment2:20.25,27.20,27.22,25.24,25.29,26.26,26.27,26.28,27.23(dueweek10)Assignment3:28.16,28.17,
3、29.23,29.25,30.11,31.24,31.28,32.14(dueweek14)AssessmentAssignment115%Assignment215%Assignment320%FinalExam50%Thefinalexaminationwillnotbeopenbook.Youwillbepermittedatwo-sided*4cheatsheet*withnotesand/orformulae.ScheduleWeek1:Week2:Introduction;WienerProcessesandlto,slemma;Chapter14TheBlack-Scholesd
4、ifferentialequation;Chapter15(espSection15.6)Week3-4:Numericalprocedures:Binomialandtrinomialtrees;MonteCarlosimulation;Week5:finitedifferencemethods;Chapter21AlternativestoBlack-Scholes;Chapter20(review)andSections27.1to27.3Week6-7:Creditderivatives;Section24.2andChapter25Week8-9:Exoticoptionsandtheirvaluation;Chapter26andSections27.4to27.8Week10:Week14:Week15:Martingalesandmeasures;Chapter28Interestratederivatives;Chapters29-32Swapsrevisited;Chapter33Coursereview;Chapter36
