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SYLLABUS Options and Futures Markets BA 4348 Section 001 Lecture: Wednesdays 4:00-6:45, SM1.

110 DO NOT USE WebCT EMAIL—YOU WILL NOT GET A REPLY. Teaching Assistant: Walter Pohl, contact Walt first about content TA’s Office Hours: Monday 3:00-4:00 TA’s Office: SOM, Room 3.810 TA’s Telephone: 972-883-4987 TA’s E-mail: Mark J. Laplante Spring 2006

My Office: SOM, Room 3.809 My Telephone: 972-883-4784 My Office Hours: Wednesday 10a.m. to 11, and also by appointment My E-mail: Required Textbook: John C. Hull, Options, Futures and Other Derivatives, Sixth Edition, ISBN 0-13-149908-4 The required text is available at the campus bookstore and Off Campus Books which is located at 581 W Campbell Rd, Richardson. Their telephone number is 972-907-8398. Optional Reading: Though not required, students are strongly encouraged to regularly read a business periodical. I recommend The Wall Street Journal. Calculator: You will need a calculator which has financial functions. When I do examples in class I will use a TI-BA II Plus. Evaluation: Exam One Final Exam 50% 50%

Drops: Dates you should know. Wednesday January 25: Monday February 13: Thursday March 16: Wednesday April 26: Other Things You Should Know • There are no make-ups and all scores will count towards your overall evaluation. If you miss an exam you must have written documentation of a serious illness from a physician. Since there are no make-ups additional weight will be put on the final. I am very willing to entertain questions you may have regarding grading but will not take these questions during class. Please submit in writing, within one week, any disputes you have with specific grades in a well thought-out argument. If you would like to request academic accommodations due to a disability please contact Disability Services, Student Union 1.610, 972-883-2098 (V/TDD). If you have a letter from Disability Services indicating you have a documented disability that requires academic accommodations, please present the letter to me so we can discuss the accommodations you might need for class. Last day to drop the class without a “W” Undergraduates “WP” or “WF” withdraw period begins Last day to withdraw from the class with a “WP” or “WF” Final Exam at 4 P.M. in SM 1.110

Topic Introduction Mechanics of Futures and Forward Markets Hedging Strategies Using Futures Interest Rates Determination of Forward and Futures Prices Interest Rate Futures Swaps Mechanics of Options Markets Properties of Stock Options Trading Strategies Involving Options Binomial Trees The Black-Scholes-Merton Model The Greek Letters Basic Numerical Procedures Chapter 1 2 3 4 5 6 7 8 9 10 11 12 15 16

The following typos and other errors are in the first printings of the book. They have been corrected in subsequent printings and so they may not be present in the copy you have. Page 4: Delete $ sign on last line. Page 9: Business Snapshot 1.1: In third line from end change overvalued to undervalued. In second line from end change undervalued to overvalued. Page 13, line 9: should read: ..with a strike price of $22.50 gives a payoff of $4.50, because it… Page 18: Problem 1.23. Insert minus sign between 1,000 and max in the expression given for the amount received when the exchange rate is less than 169 Page 53: Last line of first paragraph in section headed “The Basis” interchange words positive and negative Page 65: Six lines from bottom: A=25,000 should read A=250,000. Page 121: 13 lines from bottom: change …contract has positive systematic… to …contract has negative systematic… Page 131: line 13: P is the quoted price and Y is the cash price, not vice versa Page 220: Stoll reference should be Journal of Finance, 24 (Dec 1969), 801-24. Page 232: The dashed lines in Figure 10.7 should be changed so that they show put payoffs. Page 237 : Line 7 of summary: Change put (call) to call (put) Page 362: The left hand sides of the first three equations should be: rho, rho (call), and rho (put), respectively. Page 403: In the footnote, 12.13 should be 13.12. Page 523: Replace F by E on lines 5 and 6.