15.437 Class Home

15.437 Options and Futures Markets

Spring 2011

Instructor: Eric Jacquier

TAs: Yifan Zhou, Jun Kim

Section A: TTh 10:00-11:30 AM (E62-233)
Section B: TTh 1:00-2:30 PM (E62-233)

Announcements

Second exam available

Hello all,

Your second exams will be available tomorrow thursday from Bridgette
Hayes. The exam was quite good with median grade at 76. The final median
overall grade for the class is 83. A solution will be posted on stellar tomorrow
as well.

Congratulations to those who are graduating and a great summer to the others !

Eric

Announced on 01 June 2011 12:54 p.m. by Eric Jacquier

Extra Problems

Hello all, the following problems are good extra practice for the test, but they
are not the only ones. Remember the basic rule of thumb: what we did in class
in the amount of detail used to cover it:

Ch 9: 2,4,8,10,12
Ch 10: 2,4,6,8,10,12 with CRR, 14,18
Ch 11: they all use large number of steps, not convenient for the test
11.20
Ch 12: 4,14: be able to discuss how gamma, delta, vega, change with S,20
Ch 13: 2,4,16,18

Announced on 11 May 2011 1:53 p.m. by Eric Jacquier

Reminder: Cheat Sheet + Feedback on HW 4

For Final Exam, one page cheat sheet (both sides) is allowed and should be hand-written. Also, don't forget bringing your calculator.

Feedback on HW4
- Some made mistakes when they calculate option pricing using Black-Scholes, mistakes including simple calculation error, inappropriate discount to strike for d1, option pricing with continuous/discrete dividends, and greeks.
- Some got confused with domestic currency interest rates and foreign currency interest rates
- It is important to understand how to estimate an option price using delta, gamma, and theta

Good luck with your exam,
Jun

Announced on 11 May 2011 4:46 a.m. by Jun Kim

Extended Office Hours

Extended office hours

Mon, 5/9: 12:30pm - 2:30pm at E51 lobby
Wed, 5/11: 1:30pm - 4:30pm at E62-629
Or by appointment

Also, your homework will be graded by Monday so you can pickup on Tuesday (E62-671, Nora Burnham).

Thanks
Jun

Announced on 08 May 2011 12:38 p.m. by Jun Kim

Reminder: Exam Review Tomorrow

Hi class,

Tomorrow there will be an exam review at the usual time and place 2:30 pm, E62-223. Slides will also be posted afterwards.

Best,
Amy

Announced on 05 May 2011 2:57 p.m. by Yifan Zhou

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