In-class activities

Group activities

Each scheduled lecture has a 55-minute group activity in three phases: quick concept checks, a worked trading-desk problem, and a real-world case with a hidden ending. The activity is worked live in class; the handout and solutions are posted afterwards.

All activity materials are now available. Each handout and its worked solutions can be downloaded below. The activity is still worked live in class, so you will get most from it by attempting the handout before reading the solutions.

Activity 1 · Hull 1 · Lecture 1

Introduction to Derivatives

A forward-versus-futures position on a commodity desk, then a case where a hedging mandate turned into a speculative loss.

Handout Solutions

Activity 2 · Hull 2 · Lecture 2

Futures Markets and Central Counterparties

Trace a futures position through daily marking-to-market and margin calls, then a case of a clearing house raising margin in a squeeze.

Handout Solutions

Activity 3 · Hull 3 · Lecture 3

Hedging Strategies Using Futures

Build a commodity cross-hedge and an index-futures beta hedge, then a real airline fuel-hedging case.

Handout Solutions

Activity 4 · Hull 4 · Lecture 4

Interest Rates

Bootstrap a zero curve and measure duration on a desk, then the 2023 bank that mismatched its interest-rate exposure.

Handout Solutions

Activity 5 · Hull 5 · Lecture 5

Determination of Forward and Futures Prices

Price a forward by cost-of-carry, then a real dislocation in a commodity basis under market stress.

Handout Solutions

Activity 6 · Hull 6 · Lecture 6

Interest Rate Futures

Find the cheapest-to-deliver bond and the basis, then a famous fixed-income fund's unravelling.

Handout Solutions

Activity 7 · Hull 7 · Lecture 7

Swaps

Value an interest-rate swap as a portfolio of forward-rate agreements, then a municipality's swap that went badly wrong.

Handout Solutions

Activity 8 · Hull 8 · Lecture 8

Securitisation and the Credit Crisis

Pool and tranche a portfolio of loans and price the tranches, then a notorious synthetic CDO from 2007.

Handout Solutions

Activity 9 · Hull 10 · Lecture 9

Mechanics of Options Markets

Set up the four option positions and read their payoffs, then a fund wiped out by selling options.

Handout Solutions

Activity 10 · Hull 11 · Lecture 10

Properties of Stock Options

Use the bounds and put–call parity to spot mispricing, then a famous violation of the law of one price.

Handout Solutions

Supplement · Hull 12

Trading Strategies Involving Options

Build spreads and combinations from payoff diagrams, then the option strategy blamed for the 1987 crash.

Handout Solutions

Shanghai · China Course home