Students who expect to work in finance, or who would like to learn to use derivatives-based tools for personal finance and investing, or who somehow have special interest in derivatives markets. RSM 2306 should be feasible for anyone who has taken Finance 1.
12 sessions over 6 weeks with two classes per week
The objective is to provide a well-balanced, practically useful introductory course on financial derivative products. It emphasizes hands-on learning through a group-based project in trading options and futures. This course is the first of a three-course sequence in risk management and financial engineering. The coverage includes a range of key concepts, core theories and analytical tools, providing the basis for the other two courses in this sequence: Advanced Derivatives (RSM 2307) and Risk Management and Financial Engineering (RSM2308).
This course covers options, forwards, futures, and swaps. By the end of the course, students will have good knowledge of how these contracts work, how they are used, and how they are priced. Students will also gain hands-on experience through an RPM hedge fund project that is oriented to trading derivatives.
Evaluation and Grade Distribution
|Assignment 1 (RPM Trading)||Group||5%|
|Assignment 2 (Optional)||Individual||10%|
|Assignment 3 (LTCM Case)||Group||10%|
|Hedge Fund Trading Project||Group||25%|
|Final Exam||At the end of the course||50%|
The textbook is “Options, Futures, and Other Derivatives” by John Hull, 11th edition.