Derivative Securities Mini, FIN 524B

Philip H. Dybvig
Washington University in Saint Louis

Syllabus

Welcome to Derivative Securities! This course introduces the popular option pricing tools that have come to be used in all areas in finance. The concepts, tools and applications promise to make this a great term!

Final Exam I have graded the final exam. The exam had 100 possible points + 20 possible bonus points = 120 points. Overall, I am happy with the exams. The scores ranged from 21 to 118 out of 100. The scores are high because the Challenger was relatively easy. The table is missing one student who did not take the final.

...Final Exam
...Final Exam answers

Practice Final Exams Here are some practice exams. The first practice exam is from last year
...Practice Final Exam
...Practice Final Exam answers

Here are some earlier exams. Although some are for a slightly different course, it will show you the style of my exams, with some short answer questions and some problems to solve.
...Practice Exam 0
...Practice Exam 1
...Practice Exam 2
...Practice Exam 0 answers
...Practice Exam 1 answers
...Practice Exam 2 answers
...Fixed-income Practice
...Fixed-income Practice answers

Final Exam Schedule The final exam has been scheduled on Wednesday, April 30, 1:00-4:00PM. Both sections will have the exam at the same time. The in-person exams will be held in Simon Hall 103 and 106. The TAs will assign you seats for the exam, to avoid the appearance of people choosing seats next to friends to share exam answers.

Final Exam Rules

• This is a closed-book exam with absolutely no electronics allowed. For the exam, you are not permitted to have access to notes or any electronics, including cell phones, computers, mp3 players, iPads etc. All of these devices are computers that can be used to store information that can give an unfair advantage and most allow communications which also could be used for cheating. I want to make sure there is not even an appearance of cheating. Please take care to follow these rules. I don't like reporting infractions, but it is my duty and you will not be happy if I have to report you. As in compliance in the finance industry, a lot of violations are by people who did not intend to cheat but were not careful to follow the rules.
• (oral make-up) For anyone who cannot take the exam at the scheduled time, I will give an oral exam. In the oral exam, I will ask you questions on Zoom, starting with your choice of topic in the course. This way, I will not have to write a separate exam, and most students probably prefer a written exam and have an incentive to take the exam as scheduled unless there is a good reason to do otherwise. The oral exam is very fair, and if anything I can get a more accurate reading of what you know in an oral exam.
• Opt for an oral exam if for any reason you need to be able to use the phone during the written exam time, for example, if you are expecting a call about a job or a relative's surgery. An urgent need to use your phone during the written exam time is not a valid excuse to break the rules.

You may want to print a set of slides before class for taking notes and solving in-class exercises. One set of slides (except Lecture 0) corresponds to approximately one week of lectures (or one day in a condensed 2-week course).

The problems will not be handed in, but I have posted answers so you can check your work.

Lecture 0: Background and Binomial Model
...slides

Lecture 1: Background and Binomial Model
...slides
...problems
...problem answers

Lecture 2: Binomial Model: Puts, Calls, Futures, Futures Options
...slides
...problems
...problem answers

Lecture 3: Distribution-Free Results
...slides
...problems
...problem answers

Lecture 4: The Black-Scholes Model
...slides
...problems
...problem answers

Lecture 5: Interest Derivatives
...slides
...problems
...problem answers

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