Lectures‎ > ‎

Derivatives and Risk Management (BA216IU)

ANNOUNCEMENTS:

Recent Announcements

  • ANNOUNCEMENT: Mid-term Exam Details The mid-term exam covers Lectures 1-5 (up to and including options basic strategies).  60 multiple choice questions in 90 mins.  You will need a pencil, a rubber and ...
    Posted 30 Oct 2013, 18:49 by Diep Ho
  • ANNOUNCEMENT: Added New HCMIU Finance Hangout/Forum Dear ALLMany thanks for all those that have joined the forum.  I am hoping the forum will also server as another area where student can go to find help ...
    Posted 26 Oct 2013, 07:42 by Diep Ho
  • NEWS: Coffee Prices Soar All Of A Sudden, Vietnamese Stay Immovable Sun, Oct 13th, 2013The robusta price has increased so sharply since the new 2013-2014 crop began. However, Vietnamese exporters cannot take full advantage of the opportunity to boost ...
    Posted 14 Oct 2013, 00:22 by Diep Ho
Showing posts 1 - 3 of 5. View more »

Recent Files

  • End-of Chapter Solutions second-half semester   0k - 11 Dec 2013, 06:18 by Diep Ho (v1)
    ‎End-of Chapter/homework Solutions second-half semester‎
  • Lecture 11 - Managing Risk in an Organization.pptx   274k - 3 Dec 2013, 21:32 by Diep Ho (v2)
  • Lecture 11 - Managing Risk in an Organization.pdf   140k - 3 Dec 2013, 21:36 by Diep Ho (v2)
Showing 3 files from page File Cabinet.
COURSE DETAILS:

Lecturer: Dr. Ho, Diep, PhD [email protected] (Tel. 0946 317 379, Room A207)

Should the students wish to meet the staff outside the consultation hours, they are advised to make appointment in advance. 

Course Aims:
Risk Management

Nasdaq Commodities Feed

This course is very quantitative.  Its demands on students are some of the highest among finance courses.  Students are advised to read-up on the calculus primers: Primer1 and Primer2; and a good place to check one’s readiness is to look at the Wikipedia page on mathematical derivatives: http://en.wikipedia.org/wiki/Derivative.

Following the financial turmoil that manifesting in financial markets in 2007, individuals skilled at validation of derivatives pricing and at using these financial instruments for risk management continue to be in great demand throughout the financial world.

In this course, students receive a thorough introduction to the valuation of, and to key hedging and risk management strategies based on, derivatives contracts such as futures, forwards, swaps and options. The course includes a deeper coverage of some courses that students are familiar (e.g., Financial Management, Quantitative Methods for Finance or Financial Institutions and Markets), as well as new methodologies not previously seen in other courses.

Prerequisite course: 
Fundamental of Financial Management – BA016IU
Financial Institutions and Markets – BA134IU
Quantitative Methods for Finance – BA191IU

Units of Credit:
This course is worth 3 credits. 
Teaching times and Locations:
Lecture time: Wed 1:00pm-4:00pm
Venue:  C401

Academic Integrity:
Integrity is critical to the learning process and to all that we do here at HCMIU. A student’s responsibilities include, but are not limited to:

Attendance:
Regular and punctual attendance at lectures and seminars is expected in this course. University regulations indicate that if students attend less than eighty per cent of scheduled classes they may be refused final assessment. Exemptions may only be made on medical grounds. 

While we do not penalise occasional tardiness, a pattern of repeated unexplained late arrivals and non-attendance shall negatively impact the student's class participation grade. Understandably, job search or other obligations may occasionally conflict with class.  It is each student’s responsibility to find out from his/her classmates what has been missed during the absence.

Homework:
Homework and other assignments are expected to be completed on time. Late Assignments will not be accepted unless due to documented serious illness or family emergency.

All electronic devices must be turned off prior to the start of each class meeting.

Laptops, tablets, ipad, cell phones, smartphones and other electronic devices are a disturbance to both students and the lecturers.

Calculator:
You need a calculator for this class. A scientific calculator is good enough; you do not need to buy a financial one. As a rule, you will use spreadsheets for homework assignments, and the calculator for the simple examples in class, and, most importantly, for the exams. It is a very bad idea to wait for the last week before buying a calculator.

Study Groups:
It is highly encourage that you regularly review the readings and class notes in a study group. Don’t wait until exam week to set up such a study group. By then it’s too late. You are encouraged to work on the problem sets with your study group, but you must hand in your own answers for individual tasks.

Attendance:
Regular and punctual attendance at lectures and seminars is expected in this course. University regulations indicate that if students attend less than eighty per cent of scheduled classes they may be refused final assessment. Exemptions may only be made on medical grounds. 

While we do not penalise occasional tardiness, a pattern of repeated unexplained late arrivals and non-attendance shall negatively impact the student's class participation grade. Understandably, job search or other obligations may occasionally conflict with class.  It is each student’s responsibility to find out from his/her classmates what has been missed during the absence.

Assessment Details:
The final grade is computed as follows:
Class Participation                       5%
Mid-Term Exam (One Hour) 30%
Written Assignment                  25%
Final Exam (Two Hours)          40%
Total                                        100%

Exams shall be semi-open book.  Each student, may bring in a calculator and one A4 cheat sheet.  Two sides of the sheet may be filled with anything the student wishes, but must be handwritten by him/her (no photocopying).

In addition, since I wish to emphasize practical skills, students shall complete an assignment that use actual data--and to reflect how most companies conduct business, students shall form groups to handle these assignments.  Groups shall comprise three to five students – no less, no more.  In addition, all group members shall score their team mates on how well they have contributed to the assignment (see "Peer Group Participation Form.doc" in the file cabinet section).

Class participation is important and will be explicitly rewarded (5% of the total grade). Effectively, the class participation grade may change a grade near a cutoff.  While we do not penalise occasional tardiness, a pattern of repeated unexplained late arrivals and non-attendance shall negatively impact the class participation grade.  Understandably, job search or other obligations may occasionally conflict with class.  It is each student’s responsibility to find out from his/her classmates what has been missed during the absence.

Textbook: 
  1. Hull, John C.,Options, Futures and Other Derivative Securities, 7th Ed., Prentice-Hall, 2008
  2. Chance, D.M. & Brooks R, An Introduction to Derivatives and Risk Management, 8th Edition, Thomson South-Western, 2010.
Course outline:

WeekTopicsTextbook
    1      IntroductionChapter 1, Q: 3-9, CC5
    2      Structure of Options Markets
Chapter 2, Q: 2,8,9,11,14, CC1
    3      The structure of Forward and Futures MarketsChapter 8, Q: 2-5,11, CC4
    4      Futures Hedging strategies
Chapter 11,Q: 3, 6,9-12,15-17
    5      Option Strategies (Basic)Chapter 6, Q: 2,4,5, 8-14
    6      Option Strategies (Advanced)Chapter 7, Q: 4-17,20,21, CC2-3
    7      Principles of Pricing Forwards and Futures PricingChapter 9, Q: 1,8-14,17,18,21, CC5
    8      Principles of Option PricingChapter 3, Q: 1,5,10-18,22, CC4
    9       Option Pricing Models: the Binomial ModelChapter 4, Q: 5-9, 17
   10      Option Pricing Models: The Black-Scholes-Merton ModelChapter 5, Q: 2, 7-13, 17 
   11      Swaps Chapter 12,
   12      Managing Risk in an OrganizationChapter 16, 
   13      Revision