MBA 683-Financial Engineering

Course Description
 

Students examine futures, options and other derivative securities in the context of money management and corporate finance. Emphasis is placed on hedging and strategic techniques as a risk management tool. Pricing models and derivative strategies are covered in depth. The latest uses of derivatives in organizational decision making and exotic derivatives are also covered.

The primary method for teaching these points follows a two step approach.  First, the student will be introduced to standard techniques for pricing, hedging, and other analysis.  Next, these techniques will be applied through a variety of real world strategies.  The end goal is to develop skills which the students can apply in derivative markets.

Assignments:  Each student will be required to complete a series of assignments dealing with derivative pricing and strategies.  These assignments will require students to use theoretical models, monitor market prices, and track strategy positions.
 

Required Materials
 

Fundamentals of Futures and Options Markets by John C. Hull, 8th Edition, Prentice Hall, 2013. † Text Web Site

Options as a Strategic Investment by Lawrence McMillan, 5th Edition, Prentice Hall Press, 2012.

Email Account - (Send Email to instructor BEFORE 2nd class)

Financial Calculator - (recommend HP12C)
 

Access to Personal Computer and Spreadsheet program

†† Syllabus

 

Slides 

Set 1       Set 2        Set 3     Set 4       Set 5      

Set 6       Set 7†††††† Set 8††††† Set 9       Set 10†††††† Set 11

 

Prerequisites - MBA 680 (unless waived by Dr. Will)

 

Web Links

Link 1 Derivatives overview

Link 2 Derivative terms

Link 3 Agricultural commodity futures

Link 4 Futures basics

Link 5 Treasury futures

Link 6 Interest rate swaps

Link 7 NUMA option calculator or Option Calculator at Columbia University 

Link 8 Mortgages

Link 9 MBS overview

Other Links

Weather Derivatives

Misc Derivative Publications

Derivative definitions

Derivatives summary

Options 101

Option Strategies

Academic Dishonesty and Plagiarism

You must not adopt or reproduce ideas, words, or statements of another person without giving an appropriate acknowledgement to the source. You must give due credit to the originality of others and acknowledge an indebtedness wherever you:

 Quote another personís actual words, either oral or written;

 Paraphrasesanother personís words, either oral or written;

 Use another personís ideas, opinions, or theories; or

 Cite facts, statistics, or other illustrative material, unless the information is common knowledge.

All assignments must be your original work and not the work of other students. Neither group work nor the individual work of another student may be submitted by you. Submission of such work will be considered academic misconduct. Incidents of academic misconduct, dishonesty and/or plagiarism will be handled as per the Student Handbook.

Academic Integrity and the penalties for violations are defined both on the public site of the university as well as in the Student Handbook (requires intranet access). It is the responsibility of the student to avail themselves of this information.