Date

Topic

Reading

Week 1:

2-Apr

Introduction:

What Risks and Why Manage Them?

Strong, Chp. 1

Packet Read’g #1 (HBR Article)

4-Apr

A Risk Management Process & Debacles

Packet Reading #2 (Corp. Derivs. Usage)

Week 2:

9-Apr

Basic Option Review

Strong, Chp. 2, 3

11-Apr

Trading Strategies and Simulation

Strong, Chp. 4 (Skip Pgs. 70-79)

Class Handout (Simltn Instructions)

Week 3:

16-Apr

Trading Strategies,

Black-Scholes Pricing

Strong,Chp. 5 (Skip Pgs. 94-119)

          Chp. 6 & 15 (Skip Pgs. 322-328)

18-Apr

Black-Scholes Pricing

Strong,Chp. 5 (Skip Pgs. 94-119)

          Chp. 6 & 15 (Skip Pgs. 322-328)

 Packet Reading #3 (JDS Uniphase)

Week 4:

23-Apr

Exam #1  (Risks, Strategies & Pricing)

25-Apr

Beg'g Greeks

Strong, Chp. 7 (Skip Pgs. 157-163)

Week 5:

30-Apr

Case Study

Greeks cont'd & Option Hedging Examples

Packet Reading #4 (Keller)

Strong, Chp. 7 (Skip Pgs. 157-163)

2-May

Futures Introduction & Pricing

Strong, Chp. 8, 9 & 11

Week 6:

7-May

Futures Hedging Examples

Strong, Chp. 8, 9 & 11

9-May

Futures Arbitrage

Strong, Chp. 8, 9 & 11

Week 7:

14-May

Swaps: Introduction

Strong, Chp. 13 Pgs. 275-280, 287-292

16-May

Swaps: Introduction, cont’d

Strong, Chp. 13 Pgs. 275-280, 287-292

Week 8:

21-May

Managing Interest Rate Risk

Packet Reading #4 (Interest Rate Derivs)

Read Problem #1 at end of Rdg. #4.

23-May

Exam #2  (Options Hedging, Futures and Swaps)

Week 9:

28-May

MEMORIAL DAY (NO CLASS)

30-May

Interest Rate Derivative Pricing and

Project Discussion

Strong, Chp. 13 Pgs. 275-280, 287-292

Week 10:

4-June

Case Study

Packet Reading #5 (GM Liab Mgmt)

6-June

Review, Evaluations & Wrap-Up (Due Date for Grad papers)

Final Date and Time: 2PM, Mon. 11-June         NO FINAL EXAM

Due Date for Simulation Write-Ups

at Final Date and Time in my Office (418D Bex)