Course Notes

- Jan 5 -- Introduction to call options. [Chapter 1]
- Jan 7 -- Introduction to option payoffs, puts, and forwards. [Sections 2.1 - 2.4]
- Jan 10 -- Covered calls and protective puts. [Section 3.1]
- Jan 12 -- Spreads, collars, straddles, strangles (revised). [Sections 3.2 - 3.4]

- Jan 14 -- No-arbitrage pricing, Forward prices. [Sections 5.1 - 5.3]
- Jan 17 -- Forward prices and dividends. [Section 5.3]
- Jan 19 -- Currency forwards [Section 5.4], Commodity forwards [Chapter 6]
- Jan 21 and Correction -- Commodity forwards, Forward rate agreements [Section 7.2]
- Jan 24 -- Forward rate agreements [Section 7.2]
- Jan 26 -- Swaps [Section 8.2], Futures contracts [Section 5.4]
- Jan 28. Also slides and Canola specifications. -- Futures on stocks, commodities, and interest rates. [Sections 5.4, 5.7, 7.2, 7.4].
- Jan 31. Also the Index futures example, the Bond futures example, and the details of both calculations. -- Hedging using futures [Sections 5.5 and 7.3].

- Jan 31 -- Put/Call parity, and qualitative properties [Chapter 9]
- Feb 4 -- Qualitative properties. Binomial models [Sections 10.1-10.3]
- Feb 7 -- Binomial option pricing [Sections 10.1-10.3]
- Feb 9 -- Binomial option pricing [Sections 10.1-10.3]
- Feb 14 -- Risk Neutral valuation [pp. 320-321]
- Feb 16 -- Risk Neutral valuation [Section 11.2], calibration [Section 11.3] (the notes are slightly expanded from what I said in class).
- Feb 18 -- Calibrating binomial trees [Section 11.3]
- Feb 28 and Mar 2 -- Tree building with dividends [Section 11.5]
- Mar 4. Also trees (in Excel format). -- Tree building. Forward contracts via trees
- Mar 7. -- Black-Scholes-Merton formula [Section 12.1]: derivation
- Mar 9 (corrected) and option price spreadsheet -- Black-Scholes-Merton [Sections 12.1, 12.4]: computation and qualitative properties.
- Mar 11 -- BSM with dividends.
- Mar 14 -- American options [Section 10.4]
- Mar 16 -- American options [Sections 10.4]
- Mar 21 -- American options [Sections 11.4 and 12.6]
- Mar 23 -- Completeness, Option Greeks [Section 12.3]
- Mar 25 -- Option Greeks, Delta hedging
- Mar 28 -- Delta hedging, Continuous time model [Sections 13.3, 13.4]
- Mar 30 -- Sketch of stochastic calculus [Chapters 20, 21 - you're not responsible for this]; Model imperfections, Volatility [Section 11.4]
- April 1 -- Estimating volatility; Implied Volatility [Section 12.5]
- April 4 and spreadsheet -- implied volatility.
- April 4 and 5
-- Exotic options [Chapter 14]:

Swaptions, Currency options, Options on futures, Options on bonds, Caps, Credit Default Swaps (CDS's), Variable annuities