GESTS502 DERIVATIVES
20122013
Announcements
January 27, 2013 Class will start Wednesday February 6 at 8 AM
room R42.5.103
I start udpdating the Derivatives website. New
files will be posted as the course proceeds.
February 18, 2013 Post files provided by Professor Pirotte
March 6, 2013 Post Case 1 (due Monday March 18)
March 9, 2013 Post Excel files used in class to illustrate hedging with futures (E42) and swaps (E52)
April 17, 2013 Post Slides Market Making and Delta Hedging + underlying Excel file
April 23, 2013 Post Case 2 (due Monday May 6)
May 16, 2013 Post solutions for case 1 and case 2
Q&A session: Monday June 10 3PM6PM Room R421110
June 15, 2013 Grades (exam and final)  I will be available to answer questions WednesdayJune 19 10 AM12 AM My office R42 Level 4
June 19, 2013 Post exam june 2013 & solution
Course outline 2013
Meet John Hull at his website
Class
notes (to be updated)
Class note 1  Session 1 Introduction
Case study: Gamma Airlines + Solution
DB
Research OTC derivatives’ new market infrastructure
WSJ Futures prices p1 and p2
Class note 2  Session 2 Pricing Forward and Futures
Slides Prof. Pirotte + Excel file + Reading
Case study: Silver Mining + PP
Solution
Class
note 3 – Session 3 + Hedging with futures
Case study: Texoil + PP
Solution + Excel
Solution
Class note 4  Session 4 Interest Rate Derivatives
Additional
class note  duration
Case study: Peoples’ Car + PP Solution
Class note 5  Session 5 Swaps
Case study 1 2013 NEW 2013 + PPSolution + Excel file 1 + Excel file 2
Class note 6  Session 6 Pricing options
Case study: BNPParibas + Solution
Class note 7  Session 7 Inside Black Scholes
Case
study: AluFrance + Solution
Class note 8 
Session 8 Greeks NEW 2011
Case study: under construction
Class note 8bis 
Session 9 Market making and delta hedging NEW 2013 + Excel file
Class note 9 
Session 9 Using options
Strategies used by Madoff and Kerviel
Case study: Ask Agatha + Solution
Class note
10 – Session 9Beyond Black Scholes
Classe note 10/1 Beyond Black Scholes: more on lognormal distribution
Class
note 11  Session 11 Options on bonds and interest rates
Class note 11/1: Options on bonds and interest rates (I)NEW 2012
Class note 11/2: Options on
bonds and interest rates (II)
Case study 2 2013:+Excel file NEW 2013 + PPSolution + Excel file
Cases 2012 wrap up
Teaching notes:
IR
Derivatives  Summary (pdf)
Futures on Government Bonds
Interest Rates Futures
Swap  Summary (pdf)
Binomial option pricing model (pdf)
Additional
Short case studies
Comtrade Forward contract
Société Automobile Belge Interest Rate Futures
Orange County Updated 2011
Belgofin Interest Rate Swap
Microswiss Currency Swap
Belcom, pension fund  lognormal property of stock
prices
Questions and
Problems
Practice is the
only way to master the derivative beasts. Below are some suggestions of
useful Q&P in
Hull
(6th ed).
Work them out before looking at the solution.
Hull 6^{th} ed Selected solutions
Hull 7^{th} ed Selected solutions
Hull 8th ed Selected solution
Here are the formulas that I will join to the final
exam.
Old exam questions in English with short answer
Past exams + Solutions (up to 1999)
Examen Janvier 2001 + Solution
Exam January 2000 + Solution
Exam January 2002 + Solution
Exam January 2003 + Solution
Exam January 2004 + Solution
Exam January 2005 + Solution
Exam January 2006 + Solution
Exam January 2007 + Solution
Exam January 2008 + Solution
Exam January 2009 + Solution
Exam January 2010 + Solution
Exam May 2011 + Solution
Exam June 2012 + Solution
Exam June 2013 + Solution
Excel Files used in class (Exx) + some older files
Futures Illustrations of futures price calculations
E21 Fwd Price vs Expected spot price NEW 2012
E22 Fwd Rate vs Expected spot rate NEW 2012
E30 Fwd on Zero Coupon  Review NEW 2012
E31 Index Futures Simulation NEW 2012
E40 Government Bond Futures Valuation : To understand FGBL futures
E41 Duration hedge
E42 Hedging with futures NEW 2013
E50 Interest Rate Swap Illustration
E51 Currency Swap Illustration
E52 Swaps NEW 2013
Geometric Brownian motion  Illustration
E60 Binomial representation of GBM NEW 2012
E61 RN pricing and CAPM NEW 2012
E62 Binomial 3period NEW 2012
E70 Lognormal distribution NEW 2012
E71 Black Scholes in Excel
Option strategies
E81 Delta and Gamma Hedging NEW 2012
E82 Portfolio insurance NEW 2012
E101 IROPT Ho & Lee (I)
E102 IROPT Ho & Lee (II)
E103 IROPT BDT
Barrier options valuation in Excel
E111 Exotic option: binomial presentation
E112 Exotic option: binomial Monte Carlo
Options on bonds
and interest rates
Additional readings(to download from various Web sites)
Risk Management Lessons from LTCM  P. Jorion
Last update :
Juin 19, 2013
