[Northwestern][Kellogg] [Finance] [McDonald]

Derivatives Markets II (Finance 467)

Professor Robert McDonald

Welcome to the Finance 467 page. The text for the course will be my book, Derivatives Markets, available in the book store. There will also be a single case packet.

For the first class, I will Black-Scholes, the Greeks, delta-hedging, and VBA. You should review Black-Scholes and the Binomial model if you feel you need a refresher. You should also take a look at OptAll2.xls (Alt-F11 will bring up the visual basic editor so you can take a look at the code.)

Here are the important links:

• Syllabus: pdf, html
• Answers to even-numbered problems in the book (for the second edition)
• Handouts, including homework, spreadsheets, etc...
• Derivatives articles and other links
• Riskmetrics documents
• On-line discussion group
• Errata for Derivatives Markets
• Recent developments in expensing of compensation options
  • FASB March 2004 exposure draft on expensing
  • An innovative proposal for a way to expense options (this is the original source of the proposal but it isn't that easy to follow --- see the next item)
  • A specific scheme to implement the preceding proposal, from Integrated Finance, Limited

© Copyright 2006, Robert McDonald. You can send me mail at r-mcdonald@northwestern.edu.

Last modified: Tue Jan 08 18:13:56 Central Standard Time 2008