All Finance 4366 readings are required unless they are indicated as “Optional”. Short (10minute) quizzes will be administered via Canvas, starting 24 hours prior to the beginning of class on each of the dates shown for the required readings.
We will follow the reading schedule given below:
Date

Reading

January 19

1. Calculus and Optimization, by James R. Garven
2. How long does it take to double (triple/quadruple/ntuple) your money?, by James R. Garven 
January 24

1. The New Religion of Risk Management, by Peter Bernstein
2. Normal and standard normal distribution, by James R. Garven
3. Mean and Variance of a TwoAsset Portfolio, by James R. Garven 
January 31

1. Hull Chapters 1 (“(Introduction”), 2 (“Mechanics of Futures Markets”), 10 (“Mechanics of Options Markets”)
2. Futures and Options Markets (Optional), by Gregory J. Millman 
February 2

1. Hull Chapter 5 (“Determination of Forward and Futures Prices”)
2. A Simple Model of a Financial Market, by James R. Garven 
February 9

1. Hull Chapter 11 (“Properties of Stock Options”)
2. Properties of Stock Options Chapter synopsis, by James R. Garven 
February 14

Hull Chapter 12 (“Trading Strategies Involving Options”) 
February 23

1. Hull Chapter 13 (“Binomial Trees”)
2. Binomial Option Pricing Model (singleperiod), by James R. Garven
3. Dynamic Delta Hedging Numerical Example (calls and puts), by James R. Garven
4. Dynamic Replicating Portfolio Numerical Example (calls and puts), by James R. Garven
5. (Optional) Teaching the Economics and Convergence of the Binomial and BlackScholes Option Pricing Formulas, by James R. Garven and James I. Hilliard 
March 21

Early Exercise of American Call and Put Options on NonDividend Paying Stocks, by James R. Garven 
March 30

1. Hull Chapter 14 (“Wiener Processes and Ito’s Lemma”)
2. Applying Ito’s Lemma to determine the parameters of the probability distribution for the continuously compounded rate of return, by James R. Garven
3. Geometric Brownian Motion Simulations, by James R. Garven 
April 6

Actual versus Risk Neutral Probability of a Call Option Expiring in the Money, by James R. Garven 
April 18

1. Hull Chapter 15 (“The BlackScholesMerton Model”)
2. Geometric Brownian Motion, Ito’s Lemma, and Risk Neutral Valuation, by James R. Garven
3. Risk Neutral versus ‘True’ Probability of Default, by James R. Garven
4. (Optional) Derivation and Comparative Statics of the BlackScholes Call and Put Option Pricing Equations, by James R. Garven 
April 27

1. Hull Chapter 19 (“The Greek Letters”)
2. BlackScholesMerton Call and Put Equations and Comparative Statics, by James R. Garven 