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!

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 approximately one week of lectures (or one day in a condensed 2-week course).

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

Xtreme review