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:
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 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
Lecture 2: Binomial Model: Puts, Calls, Futures, Futures Options
Lecture 3: Distribution-Free Results
Lecture 4: The Black-Scholes Model
Lecture 5: Interest Derivatives
week 6: wrap-up and Xtreme review