Philip H. Dybvig

Washington University in Saint Louis

Welcome to Derivative Securities! This course introduces the popular option pricing tools that have come to be used in all areas in finance. The concepts, tools and applications promise to make this a great term!

**Final Exam** I have graded the final exam. The exam had 105
possible points + 20 possible bonus points. Two people could not take the exam
at the regular time and place, and they are taking oral exams instead. For the
students taking the written exam today, here is the score distribution:

grade range | count |
---|---|

105-115 | 6 |

93-98 | 6 |

71-85 | 11 |

49-62 | 3 |

...Final Exam answers

**Practice Exams** Here are a couple of practice exams. Although
they are for a little different course, it will show you the style of my exams,
with some short answer questions and some problems to solve.

...Practice Exam 1

...Practice Exam 2

...Practice Exam 1 answers

...Practice Exam 2 answers

...Fixed-income Practice

...Fixed-income Practice answers

**Important** This is a *closed-book* exam with
absolutely *no electronics allowed*. For
the exam, you are not permitted to have access to notes or any electronics,
including cell phones, computers, mp3 players, iPads etc. All of these devices
are computers that can be used to store information that can give an unfair
advantage and most allow communications which also could be used for
cheating. I want to make sure there is not even an appearance of cheating in
the class. Please take care to follow these rules. I don't like reporting
infractions, but it is my duty and you will not be happy if I have to report
you.

**Site of the week!** FXCM
offers a free trading game (practice account) for forex trading using their
platform and actual delayed quotes.

You may want to print a set of slides before class for taking notes and solving in-class exercises. One set of slides corresponds to one week (two classes) of lectures.

The problems will not be handed in, but I will post answers so you can check your work.

Lecture 1: Background and Binomial Model

...slides

...problems

...problem answers

Lecture 2: Binomial Model: Puts, Calls, Futures, Futures Options

...slides

...problems

...problem answers

Lecture 3: Distribution-Free Results

...slides

...problems

...problem answers

Lecture 4: The Black-Scholes Model

...slides

...problems

...problem answers

Lecture 5: Interest Derivatives

...slides

...problems

...problem answers

week 6: wrap-up and Xtreme review