Assessment
Quizzes & exams
Three short quizzes, a midterm, a group project and a final. Quizzes are held at the start of class; the midterm covers the first half, the final the second. Dates and coverage are below.
Attendance 12%
Quizzes 18%
Midterm 20%
Group project 20%
Final 30%
Check your Quiz 1 result
Enter your first name, last name, or full name and see only your own Quiz 1 total result.
Check your Quiz 2 result
Enter your first name, last name, or full name and see only your own Quiz 2 total result.
Assessment schedule
| Date | Assessment | Weight |
|---|---|---|
| Thu 2 Jul | Quiz 1 | 6% |
| Wed 8 Jul | Quiz 2 | 6% |
| Fri 10 Jul | Midterm Examination | 20% |
| Tue 14 Jul | Quiz 3 + Empirical Analysis | 6% |
| Thu 16 Jul | Group Project Presentations | 20% |
| Fri 17 Jul | Final Examination | 30% |
Coverage
Midterm · Lectures 1–6
- Introduction: forwards, futures, swaps and options; hedgers, speculators and arbitrageurs.
- Futures markets, clearing houses and margining; hedging strategies and the minimum-variance hedge.
- Interest rates, the zero curve and forward rates; duration.
- Forward and futures prices by cost-of-carry; interest-rate futures and the cheapest-to-deliver.
Final · Lectures 7–10
- Swaps: valuation as forward-rate agreements; currency swaps.
- Securitisation, structured credit and the 2007–08 crisis.
- Options markets: calls, puts, the four positions, specification and clearing.
- Properties of stock options: bounds, put–call parity, early exercise and dividends.
Group project
In small groups you take a derivatives or risk-management question of your own and answer it with the tools of the course, on a real instrument or episode. You hand in a short write-up and present your findings on Thursday 16 July. Marks reward a clear question, correct payoff and pricing reasoning, an honest treatment of risk, and a conclusion you can defend.
What to submit. A short report and a slide deck, with the payoff diagrams, the pricing, and the data or contract specifications behind your analysis. Choose a real instrument, market episode or hedging problem.
Exam materials
Papers are posted here after each assessment has been sat. Quiz 1 and Quiz 2 (paper and solutions) are available below; the midterm and final will appear once each has taken place. You can also revise from the lecture slides, the revision summaries, and the in-class activities.
Shanghai · China
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