BA 444/544 - Financial Risk Management
Winter 2007

[Syllabus]

Tentative Schedule

Date	Topic	Reading
Week 1: 8-Jan	Introduction: What Risks and Why Manage Them?	Strong, Chp. 1 Packet Read’g #1 (HBR Article)
10-Jan	A Risk Management Process, Debacles and Basic Option Review	Packet Reading #2 (Corp. Derivs. Usage) Strong, Chp. 2, 3
Week 2: 15-Jan	MLK Day – No Class
17-Jan	Trading Strategies and Simulation (Trade #1 & 2)	Strong, Chp. 4 (Skip Pgs. 70-79) Class Handout (Simltn Instructions)
Week 3: 22-Jan	Black-Scholes Pricing and Related Models	Strong,Chp. 5 (Skip Pgs. 94-119) Chp. 6 & 15 (Skip Pgs. 322-328)
24-Jan	Exam #1 (Risks, Strategies & Pricing)
Week 4: 29-Jan	Pricing cont’d & Beg’g Greeks	Packet Reading #3 (JDS Uniphase) Strong, Chp. 7 (Skip Pgs. 157-163)
31-Jan	Greeks cont’d	Strong, Chp. 7 (Skip Pgs. 157-163)
Week 5: 5-Feb	Case Study Option Hedging Examples (Trade #3 & 4)	Packet Reading #4 (Pine St. Capital) Strong, Chp. 7 (Skip Pgs. 157-163)
7-Feb	Futures Introduction & Pricing	Strong, Chp. 8, 9 & 11
Week 6: 12-Feb	Futures Hedging Examples (Trade #5 & 6)	Strong, Chp. 8, 9 & 11
14-Feb	Futures Arbitrage	Strong, Chp. 8, 9 & 11
Week 7: 19-Feb	Swaps: Introduction	Strong, Chp. 13 Pgs. 275-280, 287-292
21-Feb	Swaps: Introduction, cont’d	Strong, Chp. 13 Pgs. 275-280, 287-292
Week 8: 26-Feb	Managing Interest Rate Risk	Packet Reading #4 (Interest Rate Derivs) Read Problem #1 at end of Rdg. #4.
28-Feb	Exam #2 (Options Hedging, Futures and Swaps)
Week 9: 5-Mar	Interest Rate Derivative Pricing	Strong, Chp. 13 Pgs. 275-280, 287-292
7-Mar	Project Discussion
Week 10: 12-Mar	Case Study	Packet Reading #5 (Columbia Pulp)
14-Mar	Review, Evaluations & Wrap-Up (Due Date for Grad papers)
Final Dates and Times: MW 2-4è Fri. , 23-Mar, 7:30 AM MW 4-6 è Thurs., 22-Mar, 2 PM Due Date for Simulation Write-Ups Mon., 19-Mar; Noon