The required textbook for the course is the Fourth Edition of Options, Futures, and Other Derivative Instruments by John Hull. In addition, there will be a number of Journal articles listed on the syllabus. The assigned journal articles are available the McDermott Library. Alternatively, you can obtain a course packet which includes these journal articles at Alpha Graphics on Cambell Road, just East of Greenville Avenue (as you head East on Cambell Alpha Graphics will be on your left in between Wendy's and Benny's Bagels).

During the semester, I plan to make lecture notes, spreadsheet valuation templates, and detailed homework solutions to assigned homework available on this Webb location. Although some of this material is currently listed below, these materials will be revised extensively prior to becoming available here on the Webb page. I hope to make the lecture notes for the upcoming week available by Friday at 7 PM. As you might expect, suggested solutions for the required homework will be unavailabe until after the due date for the assignment.

Click on the highlighted file name to download the Course Syllabus for Finance 6360.

Click on the highlighted file name to download the lecture notes and homework solutions listed below. Due to the inclusion of a significant number of formulas and equations in the lecture notes and homework solutions, these documents have been saved in a format which you may be unable to view from my Webb page. However, all of these documents can be downloaded to your PC. Once you have the document on your PC, you may examine the document visually using Word, Word Perfect, or other word processing packages and/or print out a copy for yourself. Due to a change in the format relative to the format used to create these documents, I apologize in advance for the fact that some of the original pages may require an additional page when printed out.

- Lecture 0: Introduction (January 15)
- Lecture 1: Pricing of Forward & Futures Contracts (January 22)
- Lecture 2: Basis Risk and Hedging (January 29)
- Lecture 3: Convenience Yield and Hedging (January 29 and February 5)
- Lecture 4: Eurodollar Futures (February 12)
- Lecture 5: Hedging Interest Rate Risk (February 12 and 19)
- Lecture 6: Interest Rate, Commodity and Equity Swaps (March 19)
- Lecture 7: Arbitrage Restrictions on Option Prices (March 26)
- Lecture 8: The Black-Scholes Model (March 26)
- Lecture 9: Risk-Neutral Valuation, Black-Scholes, and the Expected Return from Writing Covered Calls (April 2)
- Lecture 10: The Binomial Model (April 9)
- Lecture 11: Portfolio Insurance (April 16)
- Lecture 12: Exotic Options (April 23)
- Lecture 13: Path Dependent Options (April 23 and April 30)
- Return to Finance 6360

- Problem Set 1 (Due February 5)
- Problem Set 2 (Due February 12)
- Problem Set 3 (Will not be collected)
- Problem Set 4 (Will not be collected)
- Problem Set 5 (Due April 9)
- Problem Set 6 (Due April 23)
- Problem Set 7 (Will not be collected)
- Problem Set 8 (Will not be collected )