Derivatives: Investment Strategies (DIS / DS2) continues from DMP / DS1 (Derivatives: Markets and Products) and expands on what's been taught.
- Options on futures
- Black-Scholes-Merton model (pde solution)
- Binomial: No arbitrage and risk neutral models
- Weiner Processes
- Ito's Lemma
- Value at Risk
- Volatility Smiles
- Options trading strategies
Lecture notes are summaries of the textbook, with some additions. Go to the lectures: lecturer talks about many examinable things that aren't in the notes or in the textbook, eg. trading in general.
Mid semester exam was difficult, final exam was somewhat easier.
Two assignments: questions from the textbook.
Overall this unit continues the general crapness exhibited by the investment finance major. Apparently this unit rates higher on the crapness quotient than TSM, so you may think about doing the trading stream instead... If you take the investment finance derivatives major, try to do QMF, DMP then DIS in that order as you'll minimise the chance that the lecturers will change significantly and reduce the chance of you getting stooged.
Make sure your maths is somewhat up to scratch: some experience with partial differential equations is good to have.
Unit website on WebCT (not public)