15.437  Options and Futures Markets

 A.      Course Description

This is a course about financial derivatives. Special emphasis will be given to 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.

B.      Prerequisites

The prerequisite for this course is 15.401 or 15.415.

C.      Materials

The text for the course is the eighth edition of Options, Futures, and Other Derivatives by John Hull. It is available in the bookstore. Please make sure that your book contains the DerivaGem software. Suggested readings in the text are given in the course outline.

The cases are included in the course reader. The reader also contains suggested study questions for the cases. Copies of some of the slides that will be used in class are in the reader; others will be posted on the course website.

 D.      Exams

There will be two exams. Each will count for 40% of the final grade. The first exam will be given in class on Thursday, April 5. The second exam will be a take-home exam.  It will be given out at the end of class on Tuesday, May 15 and will be due in at 5:00 p.m. on Thursday, May 17. Both exams will be open book and open notes.

 1.         Case Preparation. You should read each case and think about the suggested study questions. Written reports will be required for two of the cases. You may choose to write a report on any case except An Investment Linked to Commodity Futures, The Richmond Charitable Trust, or The Dutch Guilder Case (A and B). All reports are due on or before the day the case is discussed in class. Each report will determine 10% of the final grade. If you wish, you may work on your reports with one other person.

 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.