Course Description
In recent years there has been considerable growth in the markets for futures and options; and there has been phenomenal growth in the markets for futures contracts on financial assets, as well as options on these assets. These markets are used by individuals and institutions to meet a variety of objectives. With these instruments, firms and portfolio managers can hedge particular kinds of risk or alter the distribution of the returns on their portfolios in certain ways.

There is sizable literature on option and futures valuation. While the theory might at first glance appear advanced and difficult, it is in fact quite accessible. The purpose of the course is to provide the student with the necessary skills to value and to employ options, option-like instruments and futures. In order to provide a useful treatment of these topics in an environment that is changing rather rapidly, it is necessary to stress the fundamentals and to explore the topics at a technical level.

This page is for Professor Hagerty's Fin 465 Derivatives I. Many of the files accessible through this page are stored in Adobe Acrobat format. To read these files you will need the Adobe Acrobat reader. The class notes and past exams are the intellectual property of the instructor. You may not distribute class notes electronically or in any form to any one outside the class or outside Kellogg. You may not duplicate these notes for use by your employers after graduating from Kellogg without my written consent.

Links

Bloomberg Financial Information
Bloomberg provides current information on equity, bond, and foreign exchange markets.
The Economist
A non academic publication with an excellent understanding of modern finance.
Federal Reserve Economic Data
(FRED). FRED provides historical U.S. economic and financial data, including daily U.S. interest rates, monetary and business indicators, exchange rates, and regional economic data
Finance from the WWW Virtual Library
This is a collection of web links for finance. It has groups of links for finance researcher, finance educators, finance students, and finance practitioners.
Guaranteed Weather
This site provides some interesting information on weather derivatives
Securities and Exchange Commission
This is the Federal agency which regulates securities issues and many (but not all) of the financial markets in the U.S. This link will lead you to the SEC's EDGAR database. This database contains many of the documents filed with the SEC.
NASD
By law, virtually every securities firm doing business with the US public is a member of this private, not-for-profit organization. NASD registers member firms, writes rules to govern their behavior, examines them for compliance and disciplines those that fail to comply. In addition, they provide education to industry professionals and investors.
Commodity World
This site has lots of interesting information about contract specifications, margins requirements, expiration dates etc and it has lots of analysis which I don't recommend you use.
ERisk
This site has lots of interesting material on risk management including information on the Bassel II accord, risk management case studies etc.

Derivative Exchanges
Chicago Board Options Exchange
The Chicago Mercantile Exchange
The Chicago Board of Trade
New York Mercentile Exchange