University of the Philippines Diliman

College of Business Administration

Department of Accounting and Finance

COURSE SYLLABUS
BA 147: Fundamentals of Derivative Securities
Saturday, 9AM 12NN (SCE)
3 units

Diogenes C. Dy
diogenes_dy@yahoo.com

Consultation
Depends upon need and availability. E-mail first to set schedule.
Course Description
Study of the basic theory, valuation methods & practical applications of derivatives securities
Prerequisites
BA 142 (Business Finance II)
BA 182 (Management Science II)
Professors Objective
By the end of the semester, the class should appreciate how derivatives work and provide value in real life
Textbook
Hull, John C. Fundamentals of Futures and Options Markets. Pearson Education, Inc., 2011.
Grading Scale
Lower Bound

Grade

97

1.0

Weight

93

1.25

30%

89

1.5

85

1.75

81

2.0

Grading Scheme
Criteria
Midterm exam
Schedule

Month Final
Dayexam

June

40%

Activity / Topics

16 Orientation;
Bimonthly
digests Introduction
20% and Uses of Derivatives
23 Forwards and Futures: Mechanics, Market Structure and77
Strategies 2.25
Class participation
10%
30 Interest Rates and Conventions
73
2.5
July
7 Forwards and Futures: Types, Pricing and Valuation (Session 1)
69
2.75
*See Orientation and Introduction PowerPoint
14
Forwards
and
Futures:
Types,
Pricing
and
Valuation
(Session
2)
file or Grading Sheet Excel file for detailed
65
3.0
Swaps:scheme
Mechanics, Market Structure, Types, Pricing and Valuation (Session 1)
breakdown 21
of grading
4.0
28 Swaps: Mechanics, Market Structure, Types, Pricing and60Valuation (Session
2)
0

5.0

Reference Chapter Bim

1
2 and 3
4 and 6.1
5
5
7
7

August

4 UPCAT
11 Midterm Exam; Hedging Option 1
18 Hedging Option 2; Options: Mechanics and Market Structure

September

24 Midterm Hedging Settlement; Options: Strategies

11

25 Options Pricing: Binomial Model

12

1 Options Pricing: Black-Scholes-Merton Model

13

8 Additional Topics / Clarifications and Review / Allowance for Delays

15 Additional Topics / Clarifications and Review / Allowance for Delays
22 Additional Topics / Clarifications and Review / Allowance for Delays
29 Additional Topics / Clarifications and Review / Allowance for Delays
October

9 and 10.1

6 Final Exam; Hedging Option 1

13 Hedging Option 2
19 Finals Settlement
20 Posting of Grades and Objection Period

26 Submission of Grades
*See Outline of Topics Word file for the detailed breakdown of the topics covered

Class Policies
1. Bring pen, paper, scientific calculator and reading materials to class.
2. Take notes.
3. Students who drop the course shall only be considered officially dropped upon submission of a
duly processed instructors copy of the Dropping Slip.
4. Any form of misconduct (such as intellectual dishonesty) shall be dealt with in accordance with
the provisions of the University Manual.
5. Electronic gadgets should be kept in silent or turned off during class.
6. Classroom lectures should not be recorded without prior permission from the instructor.
7. There will be no make-up examinations. A missed exam shall be graded as 75% of the lowest
score for the missed exam, if reasons are justifiable. Otherwise, the grade for the missed exam
shall be 0.
8. Before the grades are submitted, students will be given an objection period to lodge requests
for corrections or re-computations. The student is considered to have waived his/her right of
objections when none is presented during the objection period.
9. University rule on absences will be strictly enforced.
10. Students on AWOL will be given a grade of 5.0.
Other Matters
Date

Day

Event

September 10, 2012

Monday

Deadline for dropping

September 24, 2012

Monday

Deadline for LOA