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TRANSCRIPT
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Derivatives Analysis
Nattawoot Koowattanatianchai
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Email:
Homepage:
http://fin.bus.ku.ac.th/nattawoot.htm
Phone:
02-9428777 Ext. 1221
Mobile:
087- 5393525
Office:
9th floor, KBS Building 4
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Introduction
Course description
Analysis of contracts, pricings, valuations and
risks of forward, futures, swap, and options,
risk management of option strategies, and
interest and credit derivatives, introduction of
various types of risks such as market risk,
credit risk and operational risk, measurement
of risk, and components of risk management
process.
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Class time and venue
Class will meet every Saturday,
10.30 am – 5.30 pm, CC15
ABAC City Campus.
Midterm exam on November 21,
2015.
Final exam on December 19,
2015.
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Texts
CFA Program Curriculum 2015 -
Level II – Volume 6: Derivatives
and Portfolio Management.
Don M. Chance and Robert
Brooks, An Introduction to Derivatives and Risk Management, 9th Edition, 2013,
Thomson.
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Course objectives
To be able to describe characteristics of
various derivative contracts.
To understand the mechanism of derivatives
markets and derivatives trading.
To be able to price various types of derivative
securities.
To be able to value various types of
derivative securities at different points in time.
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Course objectives
The course is
carefully structured to
ensure close
alignment with the
CFA curriculum.
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Expected workload
15 hours per week
6 hours for the class
5 hours in undertaking
the background
reading
4 hours in researching
and writing the essay
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Materials and equipment
Electronic calculators
are permitted in
examinations.
calculators must be
non-programmable
and without a full set
of alphabetic keys.
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Course outline
Introduction and forward contracts
Chance/Brooks Chapter 8
CFA II reading 47
Pricing and valuation of forward contracts
Chance/Brooks Chapter 9
CFA II reading 47
Futures contracts
Chance/Brooks Chapters 8-9
CFA II reading 48
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Course outline
Option contracts
Chance/Brooks Chapters 2 and 6
CFA II reading 49
Option pricing
Chance/Brooks Chapters 3-5
CFA II reading 49
Swap contracts
Chance/Brooks Chapter 12
CFA II reading 50
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Course outline
Interest rate derivative instruments
Chance/Brooks Chapter 13
CFA II reading 51
Credit default swaps
Chance/Brooks Chapter 13
CFA II reading 52
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Class participation 10%
Essay 30%
Midterm exam 30%
Final exam 30%
Assessment requirements
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Literature review topic
“Does the Black-Scholes-Merton Model correctly
price options”
Requirements
4,000 words or less typed in Microsoft Word.
At least 25 refereed journal articles are included.
Use Harvard style of referencing.
Essay
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Submission deadline
By midnight on December 13, 2015.
Penalty
Late essays will attract a 10% penalty per
calendar day for the first five days (i.e., marked
out of 90, 80, etc.), and be awarded zero after five
days.
Essay material in excess of the word limit will not
be marked.
Essay
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Essay submitted
Midterm and final exams
attended
A minimum class
attendance of 80% to be
eligible to sit the final
examination.
Mandatory course requirements
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Grading
less than 50 = F
55 – 59 = D+
65 – 69 = C+
75 – 79 = B+
80 and above = A
50 – 54 = D
60 – 64 = C
70 – 74 = B
Decimals will be
rounded up to the
nearest integer!
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In the event that the
assessment scheme
yields a fail grade (less
than 50% of the total
marks), but the exam
marks alone yield a pass,
a C pass will be awarded.
Grading
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Communication with me
In class
Chat group on Line
Course contents
Download them from my
homepage
Class communication
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Consult the student handbook of Assumption
University’s Graduate School of Business
http://www.grad.au.edu/Student%20Handbook%20
GSB%20May%202014%20small.pdf
Academic rules and regulations
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