Syllabus Financial Derivatives Enrique Ter Horst

SEMESTER: 201910
Course: DERIVATIVE MARKETS

Section: #1
MONDAY – WEDNESDAY 14:00
Class Schedule: – 15:30
Professor: Enrique ter Horst

ea.terhorst@uniandes.edu.co
OFFICE HOURS: TBA
Monitor Juan Diego Zambrano

jd.zambrano12@uniandes.edu.co
1. Description
This course is aimed to cover a conceptual approach for underlying theory of
modern analysis of forwards, futures, swaps, and options with its respective
pricing. Pointing to present studies on the mechanics of derivative markets and
how they can be used by the different market players.
This course demands a straightforward but basic knowledge in fields of calculus

and probability theory. Also, it is expected that students have taken finance
courses and they are familiar with basic financial concepts and mathematical
finance tools.
Course Aim
Nowadays complex international markets have created an environment for the
increasing development of financial derivate instruments, fostering truly useful
applications for sophisticated problems. In this sense, the course is aimed to
Pregrados - Facultad de Administración – Universidad de los Andes

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28 del 23 de febrero de 1949 Minjusticia.
present a theoretical framework to introduce students to the knowledge of
financial derivate markets.
Objectives
By the end of the course students will have a theoretical framework for understanding derivatives
in general, as a starting point to apply in fields such as risk management, pricing theory and
corporate finance.
Methodology
Classes
Classes are programed on Monday and Wednesday from 15:30 pm to 16:50 pm
students will need to master or at least have a decent understanding of the book
readings before each hour of class. Class participation will be graded according
to the contribution of the student and will represent the 50% of the student
activities, agreed as 25% of the final grade.
Quizzes
During the semester students will be expected to present quizzes that will be set
at the end of each course sections. Quizzes will evaluate both class and book
topics representing the 50% of the student activities, agreed as 25% of the final
grade. Please make sure to check section seven of the syllabus about the rules
on quizzes.
Exams
Three exams will be dated during the course development. The first corresponds
to the mid-term exam and will cover chapters 1 to 5 of the textbook. The second
one will consist on the presentation of the project that will be assigned on a per
group basis and presented during class. The third one, the final exam, will include
chapters 6 to 14. For those students having a cumulative GPA of 4 or more, they
will not have to present the final exam, unless they want to. Students having a
cumulative GPA of 4 or above and wanting to present a final exam will have to
send an email to the professor a week prior to the last day of class. Students with
a lower cumulative GPA than 4 or below will have to present the final exam.
Evaluation
EXAM VALUE (%) DATE

MIDTERM 25% Week 6
PRESENTATION 25% Week 16
FINAL EXAM 25% Last day of class.
STUDENT WORK 25% -
TOTAL 100% -
As said before, student’s work (25%) will be calculated taking into account the
grades on quizzes and class participation. These two components will be
weighted equally in order to compute the mean. The first 12.5% will be added to
the midterm and the second 12.5% will be added to the final exam.
WEEK DAY CONTENT REFERENCE

WEEK 1 Introduction,
Monday Future Markets, and Hedging strategies
(Ch. using futures
1, 2, and 3 Hull).
Wednesday
WEEK 2 Monday
Wednesday
WEEK 3 Monday Interest rates (Ch. 4, Hull)
Wednesday
WEEK 4 Monday Determination of forward and future prices(Ch. 5 Hull)
Wednesday
WEEK 5 Monday
Wednesday
WEEK 6 Monday REVIEW -
Wednesday EXAM
WEEK 7 Monday Interest rate futures (Ch. 6 Hull)
Wednesday
WEEK 8 Monday
Wednesday
WEEK 9 Monday Swaps (Ch. 7 Hull)
Wednesday
WEEK 10 Monday Swaps (Ch. 7 Hull)
Wednesday
WEEK 11 Mechanics
Monday of option markets, properties, and trading strategies
(Ch. 9, 10, 11 Hull)
Wednesday
INDIVIDUAL STUDY WEEK
WEEK 13 Monday
Wednesday
WEEK 14 Monday Binomial trees and Black-Scholes formula
(Ch. 12 and 14)
Wednesday
WEEK 15 Monday
Wednesday
WEEK 16 Monday PRESENTATIONS -
Wednesday
FINAL EXAM WEEK EXAM 2 -

References
Reference BOOK
Hull, J. (2012), Options, Futures and Other Derivatives, 8th. Ed. COURSE
New Jersey: Prentice Hall. BOOK
Hull, J. (2012), Risk Management and Financial Institutions, 3th.Ed. COMPLEMENT
Wiley
House Rules:
 Use of electronic devices: The use of cellphones, laptops, or other

electronic devices during the class is prohibited unless noted or needed
by the development of the course activities.
Punctuality: Classes start at a scheduled time. No entrance is allowed after ten

minutes from the beginning of class.
Claims: Any claims should be made during the day right afer the exam or quiz in
class. No claims other than those days will be considered. Claims should be
made in written forms, preferably in emails to a teaching assistant or an instructor.
The exams shall not be handed back.
Participation rule: This rule applies to the students that have a good
participation during the semester and have actively and correctly participated in
front of the class for more than 20 times.
Plagiarism, copyright, academic integrity: Plagiarism and other violations of

academic rules will be treated as the general undergraduate manual indicates.
Assistance: According to university rules an unjustified absence rate greater or

equal to 20% of the total scheduled classes implies that the student final grade
will be 1.5. No exceptions will be made.
Quizzes: If, for any type of justified reason, the student cannot present a quiz, a
grade of zero will be computed in the corresponding activity. This grade can be
recovered if and only if the student participates solving at least 20 exercises in
class. In that case, the corresponding grade will be the sample mean of the other
quizzes.


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SEMESTER: 201910

Course: DERIVATIVE MARKETS

Professor: Enrique ter Horst

OFFICE HOURS: TBA

Monitor Juan Diego Zambrano

This course demands a straightforward but basic knowledge in fields of calculus

Pregrados - Facultad de Administración – Universidad de los Andes

EXAM VALUE (%) DATE

WEEK DAY CONTENT REFERENCE

Pregrados - Facultad de Administración – Universidad de los Andes

 Use of electronic devices: The use of cellphones, laptops, or other

Punctuality: Classes start at a scheduled time. No entrance is allowed after ten

Plagiarism, copyright, academic integrity: Plagiarism and other violations of

Assistance: According to university rules an unjustified absence rate greater or

Pregrados - Facultad de Administración – Universidad de los Andes

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