- Grades for the course and final exam
- The final exam covers the course material through April 3.

You will be given a normal distribution table, and may bring a letter-sized formula sheet to the exam (2-sided). Bring a calculator too.

You are not responsible for hedging strategies using futures (chapter 3), or for the details of future contract terms (eg Eurodollar futures). You don't need to be able to derive our calibrations, and you don't need to know the trinomial model, Monte Carlo, or implied volatility. You are only responsible for our "standard" calibration, not for the others I described. Of the Greeks, you are only responsible for Delta.

You are responsible for what we did in class, not what is in Hull, but in case it helps you, we covered parts of the following sections (taken from the moodle page)- Chapter 2, sections 1-4, 11
- Chapter 4, sections 1-3, 6-7
- Chapter 5, sections 3-6, 8, 10-12
- Chapter 7, sections 1, 7
- Chapter 9, sections 1-3
- Chapter 10, sections 1-7
- Chapter 11, sections 1-5
- Chapter 12, sections 1-9, appendix
- Chapter 14, sections 1-4, 7-9, 12, appendix
- Chapter 18, section 4
- Chapter 20, sections 1, 3-4

Club infinity (N537 Ross) sells old exams, but only through April 8. - A set of practice problems is posted, for the material covered since assignment 5.
- Solutions to Assignment 5 are posted on the assignment page (below). Note that there is a template spreadsheet for American options posted on the course moodle.
- The second midterm covered options through the lecture of March 8. In other words: matching cash flows using options, spreads and other option combinations, qualitative properties of options, put-call parity, pricing via binomial trees, risk-neutral valuation, the BSM pricing formula.
- The first midterm covered the course material on forwards and futures, but not calls or puts. In other words, through assignment 2 and the class on Feb 1. See the moodle page for details about what sections of the text this covered. You were not responsible for the precise details of actual traded futures contracts (eg the typeset slides on Eurodollar and other futures contracts), or for the material in Chapter 3 (which I briefly mentioned on Feb 4).
- The course meets MWF 9:30-10:20, in HNE 031 (Health, Nursing, Environmental Studies building)
- Textbook:
*Options, Futures, and other Derivatives*by John Hull, 8th edition, Pearson.

I will assume you have access to the textbook for purposes of additional reading or homework. It is available in the bookstore. Because the book has few worked problems, I also got the bookstore to order the solutions manual, but I will not refer to it or assume you have it. Strictly speaking you don't absolutely need to buy the textbook, as my course notes will be available on the web. But if you don't buy the text, you will need to refer to the copy on reserve in Steacie library.

- Tutorial on trees in Excel. Held March 6 in the Gausslab
- Grades for the first midterm
- Grades for the second midterm
- Course outline
- Course moodle page
- This year's
*lecture notes*are on the course moodle page (see above) - Assignments
- Club infinity (York undergraduate mathematics club)
- ASAYU (Actuarial Students Association at York)

- The textbook (and CD-ROM) are on reserve in Steacie Library.
*Derivative Markets*by McDonald is also on reserve in Steacie Library. This is the book the Society of Actuaries uses as a reference for the MFE and FM exams, so those planning to take those exams may wish to look over how that text approaches the material.- The student solution manual to Hull is not available in Steacie Library. The Bronfman library (in Schulich) has copies on reserve, but they are not linked to our course.