8/11/2019 BUAD 508 Syllabus Fall 2014

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Derivatives and Risk ManagementBUAD 508

Mason School of Business, Fall 2014

Professor Contact Info: Dr. Vladimir Atanasov3088 Miller Hall

757-221-2954

vladimir.atanasov@mason.wm.edu

Office Hours: By appointment

Course OutlineThis course is designed to introduce students to financial derivatives and commonly used

techniques for risk management. The course will focus on the basic valuation and use of

forwards, futures, swaps, and options. Following the introduction of all major classes offinancial derivatives, students will learn how to value executive options and judge the

effectiveness of various hedging strategies using derivatives. The course will conclude with a

discussion of the methodology behind Value-at-Risk, a popular measure of risk for financialinstitutions. The accounting treatment of many of the topics presented in this class will be

covered in subsequent accounting classes.

Optional Textbook

Fabozzi, Frank, 2011, Bond Markets, Analysis and Strategies, 8thedition, Prentice Hall.

The same textbook is used in BUAD 507. Older editions dating back to 2005 will be more than

adequate.

Course Grade

Final Exam 45 %

Group Homeworks 30 %

Participation and Professionalism 25 %

The final exam will be take-home, 30% multiple choice questions and 70% problems.There will be three group homeworks, each worth 10% of the grade. There will be an

opportunity for an extra credit assignment to compensate for lack of participation in the class.

Key DateTake-home Final Due1 p.m., Wednesday, October 8

8/11/2019 BUAD 508 Syllabus Fall 2014

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Course Outline:

Class

No

Date Topic

1 August 18 IntroductionForwards and Futures

2 August 20 Forwards and Futures3 August 25 Eurodollar Deposit Futures and

Stock Index Futures

4 August 27 Finish Futures

5 September 1 Interest Rate Swaps I: Contract

Specifications

6 September 3 Interest Rate Swaps II: Valuation

7 September 8 Finish Interest Rate Swaps

8 September 10 Basics of Options. Put-Call Parity

9 September 15 Option Valuation: the BinomialModel

10 September 17 Using the Black-Scholes OptionPricing Model

11 September 22 Valuing Employee Stock Options

12 September 24 Hedge Effectiveness

13 September 29 Introduction to Value-at-Risk

14 October 1 Review of final exam material. Final

exam distributed

William & Mary MAcc Policy on Cell Phone and Computer usage in Class

Please keep in mind that we are in a group setting. Actions that may otherwise be relatively

innocuous can be very disruptive in a group setting, so please conduct yourself in a manner that

demonstrates respect for your classmates. Personal use of computers during class (e.g., checkinge-mail; surfing) infringes on the ability of your classmates to learn. Out of courtesy for your

classmates, please turn your computer off at the beginning of class unless the computer is

required for a class related activity. In the circumstances where the use of computers in class is

appropriate, the internet, email, and any messaging software should remain off. In addition, allcell phones, smart phones, and other similar devices should be turned off at the beginning of

class. The penalty for using these devices during class or for personal use of computers during

class will be determined by the individual professor.