My main course was

Here is a selection of my class notes and other teaching materials

from those courses, in PowerPoint and .pdf formats.

I started this course in 1978 with Desmond Fitzgerald and taught it for more than 40 years afterward, as the field of derivatives grew and proliferated. In recent years, the course has been offered to MBA students and advanced undergraduates. The subject is inherently quantitative, but the math is rarely high-level. The Math Review covers what is needed and provides some detail on some market conventions.

2019 Syllabus (.pdf)

Part I: Forwards and Futures (153 slides, 4.1mb) (.pptx) (.pdf)

Part II: Options (143 slides, 5.7mb) (.pptx) (.pdf)

Part III: Other Derivatives: Rates, Mortgages, Credit, Exotics (100 slides, 1.2mb) (.pptx) (.pdf)

Math Review for Derivatives (.pdf)

Option Valuation Spreadsheet, Homework Template and Solutions

OptCalc is a self-contained Excel routine, contained in both the Template and the Answersheet files, that calculates Black-Scholes theoretical call and put values and Greek letter exposures. It is easily customized for specific problems and can be readily lifted out and incorporated into a user's own application. Note, however, OptCalc is made for classroom examples. OPTCALC IS NOT A TRADING TOOL.

Homework 6 uses OptCalc to find implied volatility, to set up hedges with delta and the other Greeks, to determine optimal American call exercise and to construct a zero-cost collar (a Range Forward contract in this case).

HW6 Assignment (.pdf) Template (.xlsx) Answersheet (.xlsx)

Homework, Quizzes, and Final Exam Questions (.docx)

HW1 answers (.xlsx) HW3-answers (.xlsx) HW5-answers (.docx) OptCalc and HW6-answers (.xlsx)

2019 Syllabus (.pdf)

Part I: Forwards and Futures (153 slides, 4.1mb) (.pptx) (.pdf)

Part II: Options (143 slides, 5.7mb) (.pptx) (.pdf)

Part III: Other Derivatives: Rates, Mortgages, Credit, Exotics (100 slides, 1.2mb) (.pptx) (.pdf)

Math Review for Derivatives (.pdf)

Option Valuation Spreadsheet, Homework Template and Solutions

OptCalc is a self-contained Excel routine, contained in both the Template and the Answersheet files, that calculates Black-Scholes theoretical call and put values and Greek letter exposures. It is easily customized for specific problems and can be readily lifted out and incorporated into a user's own application. Note, however, OptCalc is made for classroom examples. OPTCALC IS NOT A TRADING TOOL.

Homework 6 uses OptCalc to find implied volatility, to set up hedges with delta and the other Greeks, to determine optimal American call exercise and to construct a zero-cost collar (a Range Forward contract in this case).

HW6 Assignment (.pdf) Template (.xlsx) Answersheet (.xlsx)

Homework, Quizzes, and Final Exam Questions (.docx)

HW1 answers (.xlsx) HW3-answers (.xlsx) HW5-answers (.docx) OptCalc and HW6-answers (.xlsx)

This course was co-taught with Bruce Tuckman. The slides are from my half of the course.

Topics include: What research shows about trading in a (pretty) efficient market; the mathematics of performance measurement; Behavioral Finance; volatility, the VIX and volatility derivatives

2017 Reading List (.pdf)

Class Notes (238 slides, 10mb) (.pptx) (.pdf)

Topics include: What research shows about trading in a (pretty) efficient market; the mathematics of performance measurement; Behavioral Finance; volatility, the VIX and volatility derivatives

2017 Reading List (.pdf)

Class Notes (238 slides, 10mb) (.pptx) (.pdf)