Exam Notes For FNCE 30007: Derivative Securities

Description

This is the complete set of notes I've made and compiled specifically for the 2019 Semester 1 exam. Hence, it contains relevant information needed to be reviewed either before or after lectures and also for the exam. Something to note is that the lecturer has decided to exclude the first 4 lectures from the exam and so my notes reflect this. The contents of this file include: Lecture 5 & 6 – Binomial Model I & II Lecture 7 – Black Scholes Merton (BSM) Model Lecture 9 – Dividends Lecture 10 – Delta Hedging Lecture 11 – Simulation Lecture 12 – Value at Risk (VaR)  I've compiled and re-typed most of the lecture content to make it more comprehensible. I've also included helpful information received during tutorials (with the head tutor) and lectures that are not on any of the slides, as well as extra tidbits from practice exams solutions. This note is also formatted in a way that is easy on the eyes (hint: it's not just a wall of text) with bullet points, coloured text, bold text, and pictures. EXAM/MST TIPS: 1. While this file should cover most, if not all, of the theory part that Jon (the lecturer) mentioned in class, I HIGHLY RECOMMEND you to understand the concept behind each topic as he has included both theory and calculating questions that differ from tutorial/sample exam questions. 2. (!!) Go over examples from the lectures and tutorials to help in your studies. This is especially relevant for the MST as some of the questions were similar to ones discussed in the lecture slides. 3. The lecturer may include questions based on content that he briefly mentioned ( on one page or one sentence long) from the lectures. * : This document should just be a revision or a reminder of the most important parts of the subject, and should NOT be used as a standalone file for studying. Well, best of luck with your studies! Hope you all get H1s with the help of my notes :)