## Teaching Notes

### Futures, Options and Other Derivatives

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)

### Trading Cash and Derivative Securities

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