Financial
Markets and Modeling, Futures, Options, and other Derivatives
Lecture
Slides for Spring 2012
These linkages below are for the PowerPoint slides used in lectures for this class. They are provided as a courtesy to students enrolled in the class in case you want color version of the slides handed out in class. Although I hand out hard-copy versions of these slides (of much lower quality), as an effort to conserve paper and printing resources, I urge you to try to use these slides rather than the ones given out in class - again, they are same and these are better quality.
These lecture slides are protected by copyright laws, with restrictions described on the title slide.
Throughout the semester these slides will be posted as they become available.
Introduction to Futures - Natural Gas Futures Lecture 2
Compounding, Discounting, Risk and Volatility Lecture 3
Hedging with Futures Lecture 4
Arbitrage and Spreads Lecture 5
Homework and Other Assignments
Homework 1 -
Calculating Log Continuous Growth Rates from data for SPY
Detailed instructions on how to do the Financial Prices SD Calculation for SPY (choose this or the quick and dirty)
Quick and dirty instructions for Financial Prices SD Calculations for SPY (optional)
Historical Volatility Step 1 Excel workbook zipped (required)
Instructions on how to download historical price data (video)
The desired result from this homework (video) (do not review until completing the homework)
Homework 2 -
Calculating MVHR for Jet Fuel and Correlation for TLT and JNK
Homework instructions (video file)
Minimum Variance Hedge Ratio Excel workbook zipped
As the course outline instructed, go to the page that includes reading and lecture slides for Econ 104 and read the comments at the top of the page. Review any topic that you deem necessary or useful.
Archive Slides from Spring 2011
Because alumni and others use refer to these slides throughout the year, a full set of archived slides are maintained on this page. As these slides are replaced by new versions as the class proceeds, they disappear. If you are currently in Econ 136, make sure you are using the newer slides at the top of the page rather than these. None of these slide shows will be used in the current class.
Interest Rate Futures Lecture 6
Currency (FX) Futures Lecture 7
Options trading strategies Lecture 8
The Historical Volatility Master Excel Workbook - IWM example (as a zip file)
Dynamic Stock and Option Modeling Lecture 10
The Black-Scholes Options Pricing Model Lecture 11 (this was modified on April 26, 2010, to correct a mistake in one of the formula slides)
Final in-class exam review slides
Take-home final exam (with
instructions)