FINA 4327 003 Derivatives Fall 2022
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FINA 4327 003
Meeting Dates and Times:
Credit Hours: 3.00
Course Description: Introduces analysis of financial derivatives such as futures, swaps, and options. Covers the underlying theories explaining derivatives markets and discusses strategies
This advanced course surveys common financial derivatives: forwards, futures, interest rate swaps, and options. By the end of the course, students will understand how forwards, futures, interest rate swaps, and options work, how they are used to transfer risk, and how they are priced via no-arbitrage (Cost of Carry Model, Binomial Model, Black-Scholes-Merton, etc.). Students will also be able to evaluate investment strategies employing primitive / underlying securities (i.e., stocks, bonds, commodities, etc.) and derivatives.
Required Texts and Materials
An Introduction to Derivative Securities, Financial Markets, and Risk Management
Authors: Robert A. Jarrow, Arkadev Chatterjea
Publisher: World Scientific Publishing Company
Publication Date: 2018-11-01
Lecture Slides: I plan to post lecture slides on Canvas after
presenting the content in class. You will be responsible for learning the material covered in class as well as in the assigned readings.
Calculator: A calculator is allowed for solving problems in
class and during exams. No other electronic devices will be permitted during exams.
HBS Case: Fuel Hedging at JetBlue Airways
§HBS Case: Fuel Hedging at JetBlue Airways
• Length: 23 page(s)
• Publication Date: Jun 21, 2013
• Discipline: Finance
• Product #: UV6682- PDF- ENG
Grading Policies/Grading Scale
Midterm Exams (3 in-class exams)
Final Exam - 2 hours
Class Participation and Professional
Practice Problem sets
Exams will be taken in person in class. Use of electronic devices (except for calculators and the computer used to log onto canvas) are not allowed during testing. There are no makeup exams. If you miss an exam for a valid reason (e.g., illness) and can provide appropriate documentation (e.g., doctor’s note), your grade will be based on your other work. Please see the section on excused absences below for further details.
Cox School of Business, Department of Finance Grading Policy
Letter grades will be assigned based on the distribution of the course’s total scores. The grade distribution for the course will reflect the Finance Department’s guidelines on the maximum number of A’s and A-’s:
At most 30% of the class will receive a grade of A
At most 30% of the class will receive a grade of A-
Therefore, at most 60% of the class will receive grades of A- or better
Grades are not negotiable and can only be changed in case of a math or grading error on the instructor’s part. If there is a legitimate grading error, we will get it resolved in a way that is fair to all. However, please be aware: a re-grade request may include a re-examination of the
student’s entire exam. The sentiment of “it never hurts to ask” does not apply to re-grades requests. Grade “grubbing” or “groveling” is unfair to your fellow students and annoying to the instructors - it will not yield satisfactory results. Any request for a review of how an assessment was graded is subject to the following conditions:
In writing: Your request must be made in writing; no verbal haggling. Requests must be
sent to me via email and describe how you answered the question, how your answer compares to the answer key, and how grading is incorrect.
Timely: Your request must be made within three days of when the assessment is available,
after which time you cannot appeal your grade for any reason.
I will observe student in-class participation, and reward students who make a substantial effort. I will focus on the quality, not the quantity, of your participation. You are expected to attend class and will lose participation points if you are absent. These points are not subject to negotiation.
It is important to attend class. Students are expected to be on time, be prepared for class, engage in class discussions, and be respectful of fellow students’ attempts to do the same. To facilitate credit for attendance, in-class students should display name cards during class. Please attend your section of this course.
Students are required to follow the professional etiquette on interactions among members in a business setting. This will make everyone involved more comfortable and facilitate effective learning environment. Students are bound by the following policies during the class session - no telephone calls, text messages, e-mails or web-surfing.
You will likely benefit from having a financial calculator, although one is not required. Other Electronic Devices: The only time you may use a laptop in class is during computer-based tasks (i.e., Excel exercises). You may not use a phone, tablet, or any other electronic device that is not your calculator. Please make sure your phone is switched off while in class.
Violation of these policies hurt the classroom experience for other students in the class. Violations will lower your Participation grade.
Students are bound by The Honor Codes of the University and the Cox School of Business. Please visit http://smu.edu/studentlife/studenthandbook/PCL_05_HC.asp for the University Honor Code and http://www.smu.edu/Cox/CurrentStudents/GraduateStudents/HonorCode for the Cox School Honor Code.
As a member of the SMU community, you understand that you have a personal responsibility to support the health, safety, and well-being of everyone on our campus. To address the unique challenges of managing the COVID-19 pandemic and to foster an environment of trust, you are required to adhere to the Pledge to Protect Our SMU Community (“Pledge”). At the discretion of the instructor, a failure to adhere to the conditions and behaviors delineated in the “Pledge”, which you have signed, may have sanctions and consequences on your final grade in the course. All of the above statements are governed in accordance with policies and procedures outlined under any applicable SMU policies including, but not limited to, those found in The Cox Charter of Community Conduct, the Cox Honor Code, the Student Code of Conduct and Conduct Review Process, the University Policy Manual, etc.
Exam #1: Monday 19 September 2022
Exam #2: Wednesday 12 November 2022
Exam #3: Monday 31 October 2022
Final Exam #4: Tuesday 13 December
NOTE: Exam dates are definite. Their position in the material is approximate. Scope will be clarified prior to each exam.
Title IX and Disability Accommodations
Students who need academic accommodations for a disability must first register with Disability Accommodations & Success Strategies (DASS). Students can call 214-768-1470 or visit smu.edu/DASS to begin the process. Once they are registered and approved, students then submit a DASS Accommodation Letter through the electronic portal, DASS Link, and then communicate directly with each of their instructors to make appropriate arrangements. Please note that accommodations are not retroactive, but rather require advance notice in order to implement.
All forms of sexual harassment, including sexual assault, dating violence, domestic violence and stalking, are violations of SMU’s Title IX Sexual Harassment Policy and may also violate Texas law. Students who wish to file a complaint or to receive more information about the grievance process may contact Samantha Thomas, SMU’s Title IX Coordinator, at firstname.lastname@example.org or 214-768-3601. Please note that faculty and staff are mandatory reporters. If students notify faculty or staff of sexual harassment, they must report it to the Title IX Coordinator. For more information about sexual harassment, including resources available to assist students, please visit smu.edu/sexualmisconduct.
Pregnant and Parenting Students
Under Title IX, students who are pregnant or parenting may request academic adjustments by contacting the Office of Student Advocacy and Support by calling 214-768-4564. Students seeking assistance must schedule an appointment with their professors as early as possible, present a letter from the Office of the Dean of Students, and make appropriate arrangements. Please note that academic adjustments are not retroactive and, when feasible, require advance notice to implement.
Religiously observant students wishing to be absent on holidays that require missing class should notify their professors in writing at the beginning of the semester and should discuss with them, in advance, acceptable ways of making up any work missed because of the absence. Click here for a list of holidays.
To ensure academic continuity and avoid any course penalties, students should follow procedures described by their instructors in order to be provided with appropriate modifications to assignments, deadlines, and exams.
Excused Absences for University Extracurricular Activities
Students participating in an officially sanctioned, scheduled university extracurricular activity should be given the opportunity to make up class assignments or other graded assignments that were missed as a result of their participation. It is the responsibility of the student to make arrangements for make-up work with the instructor prior to any missed scheduled examinations
or other missed assignments. (See current Catalog under heading of "Academic Records/Excused Absences.")
Final course examinations shall be given in all courses where appropriate, and some form of final assessment is essential. Final exams and assessments must be administered as specified in the official examination schedule. Exams cannot be administered or due during the last week of classes or during the Reading Period. Syllabi must state clearly the form of the final exam or assessment, and the due date and time must match the official SMU exam schedule. Final exams are not required to be provided online.
Students are expected to embrace and uphold the SMU Honor Code. Violations of the Honor Code will be acted upon in accordance with the policies and procedures outlined in the Mustang Student Handbook.
Student Support Services
Student Academic Success Programs
Students needing assistance with writing assignments for SMU courses may schedule an appointment with the Writing Center through Canvas. Students who would like support for subject-specific tutoring or success strategies should contact SASP, Loyd All Sports Center, Suite 202; 214-768-3648; smu.edu/sasp.
Caring Community Connections Program
CCC is a resource for anyone in the SMU community to refer students of concern to the Office of a referral form is submitted, students will be contacted to discuss the concern, strategize options, and be connected to appropriate resources. Anyone who is unclear about what steps to take if they have concerns about students should contact the Office of the Dean of Students at 214-768-
Mental Health Resources: On-Call and Ongoing Counseling Services
Throughout the academic year, students may encounter different stressors or go through life experiences which impact their mental health and academic performance. Students who are in distress or have concerns about their mental health can schedule a same-day or next-day appointment to speak with a counselor by calling Counseling Services. Counselors are available at any time, day or night for students in crisis at this number: 214-768-2277 (then select option 2) They will be connected with a counselor immediately. Students seeking ongoing counseling should call the same number (214-768-2277, then select option 1) during normal business hours to schedule an initial appointment.
Campus Carry Law
In accordance with Texas Senate Bill 11, also known as the ‘campus carry’ law, and following consultation with entire University community, SMU chooses to remain a weapons-free campus. Specifically, SMU prohibits possession of weapons (either openly or in a concealed manner) on campus. For more information, please see: smu.edu/campuscarrylaw.