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Thanks for the info, Walter.
Guy
-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Walter Lake
Sent: Saturday, February 27, 1999 6:03 AM
To: metastock bulletin board
Subject: Diz's stuff
1. No Title
NBA 546: Introduction to Derivative Securities Spring 1997. Professor
Fernando Diz 557 Malott Hall Phone: 5-7284 E-Mail: fd18@xxxxxxxxxxxx Office
Hours:..
URL: www.gsm.cornell.edu/courses/nba546/syllabus.html
Last modified 4-Feb-97 - page size 9K - in English [ Translate ]
2. Derivative Securities
Syracuse University School of Management
URL: sominfo.syr.edu/exec/mba_upgrade/diz.html
Last modified 24-Sep-98 - page size 5K - in English [ Translate ]
3. No
NBA 546: Introduction to Derivative Securities Spring 1997
Professor Fernando Diz
557 Malott Hall
Phone: 5-7284
E-Mail: fd18@xxxxxxxxxxxx
Office Hours: T-Th. 2:00-4:00pm.
Prerequisites: NCC 506 (Finance Core) or permission of the instructor.
Fernando Diz.
Description and Course Objectives
The general purpose of the course is to understand option and futures
pricing and more importantly to learn how to use these instruments for
profit and risk management purposes. The focus of the course will be on
exchange traded derivatives (futures by law can only trade on exchanges),
and the emphasis will be less on pricing and more on trading.
Specific objectives of the course are:
1. To understand the use of arbitrage pricing techniques in the valuation
of futures and options contracts.
2. To understand how futures and options contracts can be used in risk
management.
3. To get "hands on" experience in analyzing trading strategies that
involve options and futures.
4. To experience real world like trading through the use of a real-time
futures commission merchant.
Class Structure
The class notes, readings, and trading are the foundation of the course.
Each class builds on previous classes so try to stay on top of it. To force
you to do that, each week (on Tuesdays ), there will be a fifteen minute
quiz at the beginning of class that will be designed to test you on material
covered during the previous week. Quizzes will be graded and will represent
a substantial proportion of your final grade. More on grading later. We
shall make extensive use of the computer during the course. I strongly
recommend that you learn the fundamentals of Excel if you do not know it
already.
Trading Experience
I am committed to expose you to a real world trading experience. One thing
is knowing about securities and prices, and a very different thing is to
trade them for the purpose of making money (for you or your clients). This
last activity is perhaps the most interesting and exciting and you need to
be exposed to it. I am also committed to ensure that once you complete the
class you will have enough knowledge (theoretical, practical, and at the
computer level) that you will feel comfortable investing on your own account
and that you will have an edge at a trading/investment firm (that is, an
edge over and above the one you already have from Cornell’s name
reputation). Keep in mind that individual investors and traders pay
thousands of dollars for the kind of training that you will be getting.
Course grade
The final course grade will be calculated as follows: 80% of your total
grade will be accounted for by the average grade on all quizzes, 20% of your
total grade will be accounted for by the successful completion of a trading
system. Working only for a grade is hardly motivating since different grades
can simply reflect differences in students' starting points. For example, a
student with a more mathematical background will understand pricing much
faster than a student without such background. I am not interested in
grading people's backgrounds. I want you to be challenged and be rewarded by
your own efforts regardless of your starting point. This is why your trading
performance can help your final grade. I do not, however, want you to bet
your course grade on your trading. With these two things in mind the
grading will be as follows. Your final grade will be composed of 80% of your
quizzes, 20% of your trading system, plus whatever number of return points
you can make over and above the S&P 500 index over the duration of the
course. Let’s make it clearer with an example. Suppose you get 85 in your
quizzes , 90 in your trading system project and you outperform the S&P 500
index by 1000 basis points (10%). Your final grade will be calculated as
follows:
Total Grade = (0.8)x85 + (0.2)x90 (this is the grade without trading)
Final Grade = Total Grade + MAX[ 0, MIN[Total Grade - 75,
Out-performance] ] =
= 86 + MAX[0, MIN[ 86 - 75, 10]] = 86 + 10 = 96
Required Course Materials
1. Textbook: Derivative Securities, by Robert A. Jarrow, and Stuart M.
Turnbull., South-Western, First Edition 1996.
2. Course Packet.
3. Subscription to the Wall Street Journal or Barron’s or Financial
Times.
Optional References
1. The New Commodity Trading systems and Methods, by Perry J. Kaufman,
John Wiley, First Edition, 1987. A good compendium of the most commonly used
techniques in technical trading along with a simple chapter on optimization
of trading systems.
2. Option Volatility and Pricing, by Sheldon Natenberg, Probus, 2nd
Edition, 1994. This is an excellent textbook used primarily by individuals
who want to become futures’ option investors and/or traders.
3. Options as a Strategic Investment, by Lawrence G. McMillan, New York
Institute of Finance, Third Edition, 1993.
Course Syllabus
1. Forward and Futures contracts. Definitions Pricing Differences
between forward and futures contracts. Institutional framework in the
trading of futures contracts. Exchanges, clearing, contract specification,
margins. Taxation of Futures. Order placement primer. Types of traders.
Futures contracts in managed portfolios. Trading strategies and/or systems
(news trading, trend following,etc). Money management.
Readings:
Jarrow & Turnbull, Chapters 1.0-1.2, 2.0-2.8,12.0-12.3. ‘The financial
considerations of Futures Execution and Clearing’, packet. ‘Order placement
primer’, packet. ‘Margins and contract specifications’, packet. ‘Mutual
Funds: A historical evaluation’, packet. ‘Introduction: Managed Futures
come of age’, packet. ‘System design and testing’, packet. ‘Laying the
foundation’, packet. ‘Tools of the trade’, packet. ‘Donchian’s five and
twenty moving averages’, packet. ‘Managing your trade’, packet. ‘History
lesson’, packet.
2. Options. Definitions. Payoff diagrams. Simple arbitrage restrictions
for options. Two state option pricing. - Binomial pricing. Black-Scholes
and Black pricing models. Properties of volatility useful for trading.
Option values and changing market conditions, the ‘Greeks’ and position
analysis. Option arbitrage trading (Conversions, Reversals, Boxes, Early
Exercise, Hedging) Volatility spreads.
Readings:
Jarrow & Turnbull, Chapters 1.3-1.7, 3.0-3.5,6.0-6.9, 7.2-7.3,8.0-8.10,
10.0-10.7. Class notes. ‘Trading Volatility in the metals markets’, packet.
Additional readings will be assigned in class.
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