Trading and Risk Management

McDonald, Robert L. Derivatives Markets, 2^nd Ed. Addison Wesley, 2006. ISBN: 0-321-28030-X

Haug, Espen G. The Complete Guide to Options Pricing Formulas, McGraw-Hill, 1998. ISBN:0-7863-1241-8

An Introduction to Technical Analysis. The Reuters Financial Training Series, 1999. John Wiley & Sons. ISBN: 0-471-831271

Additional Resources:

Baxter, Martin, and Andrew Rennie. (1996) Financial Calculus: an introduction to derivative pricing. (Cambridge University Press, New York, NY).

Clewlow, Les, and Chris Strickland. (1998). Implementing Derivative Models. (John Wiley & Sons, Ltd. New York, NY).

Greene, William H. (1997). Econometric Analysis. 3^rd Ed. (Prentice-Hall, New Jersey).

Hull, J. Options, Futures, & Other Derivatives, Prentice-Hall, 6^th Ed. 2005. ISBN:0-13-009056-5

Natenberg, Sheldon. (1994). Option Volatility & Pricing. (McGraw-Hill, New York).

Pindyck, Robert S., and Daniel L. Rubinfeld. (1991). Econometrics Models & Economic Forecasts, 3^rd Ed. (McGraw-Hill, New York).

Rebonato, Riccardol. (1999). Volatility and Correlation. (John Wiley & Sons, Ltd. New York, NY).

Taleb, Nassim. (1997). Dynamic Hedging: Managing Vanilla and Exotic Options. (John Wiley & Sons, Ltd. New York, NY).

Course Grades

Examination

The examination is short answer, essay, and problem questions with partial credit awarded for all questions. The examination will be open book and notes and will require a calculator. Computer access is restricted.

Project 1: Trading Class simulations

Project 2: Empirical Analysis

Project 3: Analysis of Trader's Book

Project 2: Technical Paper Disscussion

Misconduct:

The document Policies and Procedures Relating to Academic Misconduct in the College of Business Administration shall apply to this course. Copies of the document are on reserve in BAH 218.

Center for Student Academic Support

Students with disabilities should contact the Center for Student Academic Support to self-identify their needs in order to facilitate their rights under the Americans with Disabilities Act. The Cent for Student Academic Support is located in Holmes Student Center, Room 59.

Missing Grades

All missing grades are recorded as zero unless the missed grade falls under the policy specified on pages E56-57 of the Student Handbook. This policy states that the student should report to the Student Center for Academic Support in Holmes Student Center, Room 59 for a formal excuse.

Study Assignments

The topics and associated material is conceptually difficult meaning students will find it helpful to review the scheduled chapters and study assignments before class. This pre-class preparation will assist students to understand the “basic” concepts allowing class time to be devoted to the more difficult material.

Software

Computer Lab: Excel (VBA), SAS, Matlab, Bloomberg, Mathematica, Moneyline, Compustat Research Insight.

Other: Haug Excel addin (provided by professor once book is purchased), Visual Studio.

Tentative Schedule

Week	Topic	Chapter
1	Introduction and trading strategies.
2	Options on stock indices, currencies, and futures.
3	The Greeks
4	Implied volatility and volatility smiles
5	Technical Analysis
6	Estimating volatilities and correlations
7	Estimating volatilities and correlations and Value at Risk
8	Value at Risk
9	Examination
10	Project #1A
11	Project #1B
12	Project #1C or Alternative TBD
13	Fall Break
14	Project #2A: Time series analysis
15	Project #2B: Implied Volatility
16	Project #3: Analysis of Trader's Book Project #4: Technical Paper Discussion

Examination	100
Project 1	75
Project 2	75
Project 3	75
Project 4	75
Total	400