Instructor:  Robert M. Conroy

Office:  Faculty Office Building Room 260

Telephone:  924-4829 (voice) and 924-0717 (Fax)

E-Mail:  rmc2e@Virginia.edu

Materials:

Technical Notes:  I have written technical notes for all of the sessions.  Hence it is not necessary to buy the textbook.  However, if you plan a career in investment banking or corporate treasury it is a widely used reference book for derivatives.

Textbook: Hull, John, Options, Futures, and Other Derivative Securities. Englewood Cliffs, N.J., Prentice Hall, fifth edition 2002 or sixth edition 2004.  I will include page references for both editions.

Course Overview:

The course is an overview of derivatives. During the course we will examine different types of derivatives and how they are priced.  Most of the pricing will be done in the context of the binomial option pricing model.  This is a simple but powerful approach to valuing a wide variety of derivative.  

The textbook I have chosen is the standard reference book on this topic. I have also provided my own Technical Notes for most topics.  These will only be available through the website.  It is my objective that we will cover most of the material in the book. First Year Finance and Valuation in Financial Markets have covered the material in Chapters 1, 4, 5, 6 and 7 of the textbook. We will cover all of the remaining chapters except chapters 15, 18, 19, 21 and 23.

Grading:

The grading in the course have three components. They consist of class participation (20%), four problem sets (35%) and a final exam (45%).