15.437 Options and Futures Markets
Spring 2009
Instructor: Zvi Bodie
TA: Tara Kumari Bhandari
Lecture:
TTh 1:00-2:30 / 2:30-4:00
(E51-145)
Recitation (optional): Selected Fridays 11:30-1:00
(E51-395)
Information:
Course Description
This is a course about financial derivatives. The main focus will
be on options and futures. The course will have a mixture of
lectures and case discussions. The lectures will emphasize
fundamental economic principles. The cases provide an opportunity
to apply the principles in a variety of situations.
Prerequisites
The prerequisite for this course is 15.401 or 15.407.
Exams
There will be two exams. Each will count for 50% of the final
grade. The first exam will be given in class on Thursday, March 12.
The second exam will be given on Thursday, May 14. Both exams will
be open book and open notes.
Other Course Requirements
1. Case Preparation. You should read each case and think about the
suggested study questions. No written reports will be required, but
you will certainly get more from the course, and do better on the
exams, if you put some extra effort into the cases.
2. Problem Sets. Problem sets and their solutions will be posted on
the course website throughout the semester. You should work the
problems first and then compare your answers to the solutions. The
problem sets are an important part of preparing for the exams.
Teaching Assistant and Office Hours
The teaching assistant for the course is Tara Bhandari. Her office
address is E52-416 and her office telephone number is 617-324-6709.
Her e-mail address is tkb@mit.edu. Her office hours will be 3:00 to
4:00 on Wednesdays. She will also hold optional recitations on
selected Fridays, from 11:30 to 1:00pm. Professor Bodie will
be available after 4:00 on Thursdays and by appointment.
Announcements
Solutions to Final Exam
Dear class,
Solutions to the final exam have been posted to Stellar. Look for the document named "Solutions to (Actual) Final Exam" under the problem sets, exam solutions, etc. section of the Materials page.
Congrats once again on completing the course.
Best!
Tara
Announced on 02 June 2009 3:46 p.m. by Tara Kumari Bhandari
Missing Solutions
As many of you have pointed out, the solutions that have been posted for the problems on contingent claims analysis and the Merton model are incomplete (2(d) and 2(e) are not solved in the Merton model solutions, and the very end of the contingent claims solutions is cut off mid-sentence). Thanks to John Angelos for completing those solutions as follows (and I agree):
"Part d is basically a step function: below V_assets =
$60M, the payoff is $1M, and above V_assets
= $60M, the payoff is zero. I modeled this with a binomial model,
given that
the DDR paid off in the event of default by the firm (i.e., DD, DU,
UD cases
but NOT UU). Replicating the payoffs, I found that VDDR_D = 951229,
VDDR_U =
363442, and VDDR0 = 566522.
"For the CC problems, I think the missing phrase for the
explanation of N(d1)
is invest the remaining $526,198 in risk-free bonds."
Announced on 13 May 2009 12:52 a.m. by Tara Kumari Bhandari
Launch of Solman-Bodie financial literacy project
http://www.pbs.org/newshour/insider/business/jan-june09/pocketchange_05-05.htmlPocket Change: Answers to Your Finance Questions
In the first installment of Pocket Change, a regular forum on personal finance, NewsHour economics correspondent Paul Solman and finance professor Zvi Bodie tackle viewers' questions on credit unions, credit scores, and whether gold makes a good investment.
Also:
Finance Fallacy
Understanding today's economy is hard enough without having to
wrestle with popular misconceptions and misinformation. In a new
series, Paul Solman and guests debunk the conventional wisdom to
help make sense of our economic world.
http://www.pbs.org/newshour/bb/business/jan-june09/financefallacy_05-05.html
Announced on 12 May 2009 12:30 p.m. by Zvi Bodie
Questions for the final exam
Tomorrow is our last class before Thursday's final exam. If you have a question you would like answered, please send it to me via email now.Announced on 11 May 2009 5:47 p.m. by Zvi Bodie
Doug Dachille to Discuss Stress Tests on Bloomberg TV
First Principles' CEO Doug Dachille is scheduled to discuss the bank stress tests this afternoon on Bloomberg Television's "Taking Stock," from shortly after 5:00 p.m. until the show ends at 6:00 p.m. Mr. Dachille will be part of a panel discussing the issue. At approximately 5:30 p.m. two Members of Congress who serve on the House Financial Services Committee are expected to join the dialogue for a few minutes. The segment will air on Bloomberg TV and should also be available at www.bloomberg.com.
Announced on 07 May 2009 3:00 p.m. by Tara Kumari Bhandari
