Graduate School of Management & Economics

Sharif University of Technology

Financial Engineering
44616
Fall Semester 2014
Instructor: Shiva Zamani (zamani@sharif.ac.ir)
Office phone: 66022755/6
Ext: 147
Assistant: Shahabeddin Gharaati
Course Objective & Overview
This course covers forward contracts, futures, options, Greeks, and Exotic
Options. By the end of this course the student will have a good knowledge of
how the referred contracts work, how they are used, how they are priced by
binomial and Black-Scholes-Merton model, and how they could be hedged.

Course materials
The assigned text for this course is:

John Hull, Options, Futures and Other Derivatives, Eight Edition,

Prentice Hall (2012)

The course packet contains the supplementary materials from the following
reference:

The Website of John Hull: www.rotman.utoronto.ca/~hull

Syllabus and Course Schedule

Week

Date

Saturday 29/06/93

2
Saturday 5/07/93

Mechanics of Futures and Forward Markets

Hull: Chapter 2
Hedging Strategies Using Futures
Hull: Chapter 3
Hedging Strategies Using Futures
Hull: Chapter 3

Saturday 19/07/93

Determination of Forward and Futures Prices

Hull: Chapter 5

Monday 21/07/93

Holiday

Saturday 26/07/92

Determination of Forward and Futures Prices

Hull: Chapter 5
Mechanics of Options Markets
Hull: Chapter 9

Wednesday 30/07/93

6
Saturday 3/08/93

Introduction to Forward, Futures and Options

Hull: Chapter 1
Mechanics of Futures and Forward Markets
Hull: Chapter 2

Saturday 12/07/93

Topics

Saturday 10/08/93
Monday 12/08/93

Exam1

Mechanics of Options Markets

Hull: Chapter 9
Properties of Stock Options
Hull: Chapter 10

Properties of Stock Options

Hull: Chapter 10
Holiday

Saturday 17/08//93

Trading Strategies Involving Options

Hull: Chapter 11

Saturday 24/08/93

Binomial Trees
Hull: Chapter 12

10

Saturday 1/09/93

The Black-Scholes-Merton Model

Hull: Chapter 14

11

Saturday 8/09/93

Wednesday 12/09/93

The Black-Scholes-Merton Model

Hull: Chapter 14
Options on Stock Indices and Currencies
Hull: Chapter 16
Exam 2

12

Saturday 15/09/93

Futures Options
Hull: Chapter 17
The Greek Letters
Hull: Chapter 18

13

Saturday 22/09/93

Holiday

Monday 24/09/93

The Greek Letters

Hull: Chapter 18

14

Saturday 29/09/93

Exotic Options
Hull: Chapter 25

15

Saturday 6/10/93

Practice, question and answers

Instructional method
Each session is capped by a lecture and discussion. The main reference book
(Hull) is meant to be studied carefully, and I would emphasize that the
handouts and discussions are certainly not sufficient to complete the course.

Quiz and Class Participation

Quizzes are taken randomly. By taking part in each quiz you will gain 60% of
the mark, the other 40% is the mark for your answers.

Exams
There will be two exams before the final exam, the first one in the last week of
Mehr and the second in mid of Azar. The final exam will be held on Date.

Grading (Evaluation)
Quiz

20%

Exam 1

20%

Exam 2

30%

Final exam

30%

Office hours
With rare exceptions announced in advance, I will be available on Saturdays
11-12. For setting an appointment, you can e-mail me (zamani@sharif.edu).
This course is delivered in the framework of "Official Educational Rules for
Graduate Programs in Sharif University of Technology".