|
|
BRADLEY UNIVERSITY |
|
||
|
FOSTER COLLEGE OF BUSINESS ADMINISTRATION |
||||
|
|
FINANCE |
|
||
|
FIN 327, Speculative Markets |
Dr. Arlyn R. Rubash |
|||
|
Fall Semester, 2001 |
|
206 Baker Hall |
||
|
|
|
Ph: 677-2258 |
||
CATALOG DESCRIPTION: Markets for high risk financial instruments. Options, futures, and related contracts. Nature of speculative markets, mechanics of trading, regulations, analysis, and strategies.
COURSE OBJECTIVE: Students are introduced to the use of options, futures, swaps and other derivative instruments. The variety of existing and synthetic financial instruments available for risk management by speculators, hedgers and arbitrageurs is covered. Basic concepts for using options, forwards, futures, swaps and related contracts are analyzed. The nature of derivative markets, mechanics of trading, valuation, regulation, analysis and risk management strategies available for hedging and speculating are stressed.
PREREQUISITES: Finance 322 and Math 116 or 122
TEXT: Don M. Chance, An Introduction to Derivatives (1998), 4th Ed., The Dryden Press, Chicago
INTERNET: http://hilltop.bradley.edu/~arr/courses/fin327/
OFFICE HOURS: M W 3:15 - 4:00, TU 2:00 - 3:00
GRADE DETERMINATION: The final grade earned for this course will be based on three exams. Each will contribute equally (1/3) to the final grade. The exams will not be specifically cumulative (i.e., no effort will be made to retest material from the earlier exam). However, certain concepts may require an understanding of material from the earlier period, hence, exceptions will occur.
The standard percentage breakdown will be used as a guide for determining final grades.
|
Lower |
|
Letter |
|
Upper |
|
90 |
<= |
A |
<= |
100 |
|
80 |
<= |
B |
< |
90 |
|
70 |
<= |
C |
< |
80 |
|
60 |
<= |
D |
< |
70 |
|
|
|
F |
< |
60 |
CLASS ATTENDANCE REQUIREMENTS: Students must know and understand all material discussed in class. This requirement includes contributions from other students as well as those of the instructor.
EXAM ATTENDANCE REQUIREMENTS: All exams must be taken as scheduled. If an exam is missed a zero (0) numeric score will be recorded for that exam. Student absencescaused by major problems such as hospital emergencies or deaths in the immediate family will allow upon presentation of adequate documentation a "make-up exam" for the one missed as soon as reasonably possible after returning to campus. To request this option, a written explanation must be filed with the instructor.
The calculation of the final course grade will then use the lower of:
ASSIGNMENT SCHEDULE
|
Date |
Chapter |
Discussion Topics |
Questions Due |
|
8/29 |
1 |
Introduction |
|
|
|
1 |
Derivative Markets |
1-5,8,10,11,13 |
|
|
2 |
The Structure of Options Markets |
1-4,6-8,11,14 |
|
|
3 |
Principles of Option Pricing |
1,4-6,9-10 |
|
|
3 |
Principles of Option Pricing |
12-17,18-19 |
|
|
4 |
Option Pricing Models
|
1,5-9 |
|
|
4 |
Option Pricing Models Develop Option Pricing Spreadsheet |
12-16,18-19 |
|
|
5 |
Basic Option Strategies |
1-5,8,11 |
|
|
5 |
Strategies |
13,14,16,18 |
|
|
6 |
Advanced Option Strategies |
1-4,6,8,9,11-13,19 |
|
9/26 |
|
Exam I |
|
|
|
7 |
Exam Review |
|
|
|
7 |
The Structure of Futures Markets |
1-3,5-9,11-18,20-21 |
|
|
8 |
Spot Market Pricing |
1-9,11,12
|
|
|
8 |
Spot Market Pricing |
14-17 Solve 14 with your spreadsheet |
|
|
9 |
Futures Market Pricing |
1-4,8 |
|
|
9 |
Futures Market Pricing |
10-13 |
|
|
10 |
Futures Hedging Strategies
|
1-4,6,8-10 |
|
|
10 |
Futures Hedging Strategies |
15,16,19 |
|
10/29 |
|
Exam II |
|
|
|
11 |
Exam Review |
1-5,7 |
|
|
11 |
Advanced Futures Strategies |
1-5,7 |
|
|
11 |
Advanced Futures Strategies |
12,15-17 |
|
|
13 |
Foreign Currency Options and Futures |
1-3,5-7 On #6 put premium is $0.14 |
|
|
13 |
Foreign Currency Options and Futures |
14,15 on #15 American firm pays 11% interest for French francs |
|
|
14 |
Swaps and Other Derivatives |
1-3,5,13,19 |
|
|
15 |
Advanced Strategies and Contemporary Issues |
1-6 |
|
|
15 |
Advanced Strategies and Contemporary Issues |
8-18 |
|
12/10 |
|
Exam III |