1. FIN 487 – 80 (CRN# 14412)
Derivatives
Syllabus
COURSE INFORMATION:
Fall 2015 Office Hours:
Course Credit Hours: 3 By appointment
Meeting Time: Course by Arrangement
Classroom: Online (Blackboard)
Instructor: Andrew Paul Acosta
Telephone: (888) 316-8499
Email: aacosta@roosevelt.edu
TEXT:
Hull, John, C. "Options, futures, and other derivatives." ISBN-13: 9780133456318, 9th ed
(2015).
OPTIONAL:
Financial calculator. Most examples will be from a HP 12C, but a Texas Instruments BA II Plus
or an equivalent is fine. Some proficiency in Microsoft Excel and a statistical environment such
as R or Python will be helpful.
CATALOG DESCRIPTION:
FIN 487 – DERIVATIVES
Financial derivatives, such as futures, forward contracts, options, and swaps; markets for
derivatives; pricing theories using the arbitrage principle. Use of derivatives to hedge and
transfer risk.
PREREQUISITES:
FIN 485 (with a min grade of C-) and FIN 408 (with a min grade of C-).
COURSE OBJECTIVES:
This course covers forwards, futures, swaps, and options. By the end of the course, students
will have good knowledge of how these products work, how they are used, how they are priced,
and how financial institutions hedge their risks when they trade the products. Additionally, this
course builds on the material covered in Options and Futures Markets. It examines a broad
range of derivative products and discusses how the middle office of a financial institution
manages risks. At the end of the course students should (a) be familiar with most of the
products that they are likely to encounter in financial markets and (b) understand how market
risk and credit risk is quantified by banks and other financial institutions.

2. STUDENT LEARNING OBJECTIVES:
The university’s three overall learning goals for both undergraduate and graduate students are:
ü Goal: Effective communication.
ü Goal: Knowledge of disciplined-focused content.
ü Goal: Awareness of social justice and engagement in civic life.
COURSE REQUIREMENTS:
Student success results from an understanding of assigned reading materials, lectures, class
exercises and discussions. Class attendance and participation, as well as the timely completion
of all assignments/projects, are required components in this process.
COURSE FORMAT:
This course will include lectures, homework, quizzes, exams, and class participation. Students are
expected to be well prepared for each class meeting and be able to provide insightful opinions into
the discussions. Most of the content will be available on Blackboard for download.
GRADING CRITERIA:
In-Class Participation............................................................................................................... 10%
Quizzes.................................................................................................................................... 20%
Midterm Exam.......................................................................................................................... 30%
Final Exam .............................................................................................................................. 40%
TOTAL................................................................................................................................... 100%
GRADING SCALE:
93.0% - 100.0% A 73.0% - 76.9% C
90.0% - 92.9% A- 70.0% - 72.9% C-
87.0% - 89.9% B+ 67.0% - 69.9% D+
83.0% - 86.9% B 63.0% - 66.9% D
80.0% - 82.9% B- 60.0% - 62.9% D-
77.0% - 79.9% C+ 59.9% & BELOW F
BLACKBOARD WEBSITE:
You are required to log into Blackboard on a regular basis because it is the forum that serves as
the primary means of communication with the class. All handout reading, quizzes, and exams
are distributed and scored through Blackboard. You will submit your finance paper through a
process called Turnitin, which measures the paper’s level of originality as a measure against
plagiarism. It also makes observations on grammar, style, syntax, mechanics, and spelling. At
least one online discussion will be created on Blackboard, for which you are required to
participate for full credit in the in-class participation score. It is strongly advised that you
proofread your written work and comply with editorial standards.
ATTENDANCE POLICY:
Because the classroom experience is an essential part of the course work, even in a Course by
Arrangement. Students are expected to log into Blackboard and check student email on at least
a weekly basis.
IN-CLASS PARTICIPATION POLICY: (10% of Final Grade)
Students will earn full participation credit through their continual punctuality, attentiveness,
coming to class prepared with the assigned text, completed homework, and appropriate
handouts. Please minimize talking between students during class. Students will be expected to
participate in the class when the assignments are being discussed. Since course content is
distributed via the Blackboard website, you are expected to log in at least once per week and
participate in all online discussion forums by asking or answering questions posed in the forum.
If you have a cell phone or pager in class, be sure that it is turned off or on silent mode. Ringing
or vibrating phones and pagers are a major distraction in class. This may result in a lower
grade.

3. QUIZZES: (20% of Final Grade)
There will be quizzes throughout the semester and are based on information covered in the
class lectures and discussions, as well as in the assigned reading material. Quizzes will be
available online via Blackboard.
The instructor reserves the right to modify this syllabus if necessary.

4. Class Schedule
Week 1: Introduction and mechanics of futures Markets; Chapters 1 and 2
Week 2: Hedging strategies using futures; Chapter 3
Week 3: Interest rates; Chapter 4
Week 4: Determination of forward and futures prices; Chapter 5
Week 5: Interest rate futures; Chapter 6
Week 6: Swaps; Chapter 7
Week 7: Securitization and the Credit Crisis and OIS Discounting, Chapters 8 and 9
Week 8: MIDTERM EXAM
Week 9: Mechanics of option markets and properties of options; Chapters 10 and
11; Trading strategies involving options and binomial trees; Chapters 12
and 13
Week 10: The Black-Scholes-Merton model; Chapter 15 (excl. 15.6)
Week 11: Employee stock options; Chapter 16
Week 12: Options on stock indices, currencies and futures; Chapters 17 and 18
Week 13: The Greeks; Chapter 19
Week 14: Volatility smiles; Chapter 20
Week 15: Review of course; Chapter 36; FINAL EXAM

5. Policies
Academic dishonesty: The university’s policies on issues such as plagiarism,
recycling, cheating and other forms of academic dishonesty can be found in the student
handbook, which is available as a link here:
http://www.roosevelt.edu/CurrentStudents.aspx . Additional guidelines for avoiding
plagiarism are available here:
http://www.roosevelt.edu/Provost/Faculty/AcademicIntegrity.aspx
Disability: Roosevelt University complies fully with the Americans with Disabilities Act. Details
about ADA and Roosevelt’s policies and practices are found in the following link:
http://www.roosevelt.edu/StudentSuccess/Disability/Discrimination.aspx If you have a condition
or disability that requires reasonable accommodation, please alert your instructor or the
Academic Success Center as soon as possible, certainly before any assignment or classroom
activity that requires accommodation. The Academic Success Center is located in AUD 128
in Chicago, and the phone number is 312-341-3818. In Schaumburg, the office is in room
125, and the phone number is 847-619-7978. Email Nancy Litke at nlitke@roosevelt.edu or
Danielle Smith at dsmith51@roosevelt.edu .
Withdrawal date: The final date for an official withdrawal from this class (meaning a
“W” would appear on your transcript) is Tuesday, Oct. 27. After that, if you want to
withdraw, you’ll need to petition the registrar. Petitions are granted only for non-
academic reasons after the deadline. If you receive financial aid, it’s best to check with
your counselor to assure that aid isn’t affected by withdrawing from a class. The
complete withdrawal policy is here:
http://www.roosevelt.edu/Registrar/Registration/Drop.aspx
Religious holidays: Please let your instructor know as soon as possible if you will miss class
because you are observing a religious holiday. Roosevelt University policy requires written
notification to me within the first two weeks of the term. Any work you miss because of a
religious holiday can be made up. You can see the full policy here:
http://www.roosevelt.edu/Policies/ReligiousHolidays.aspx
Student Code of Conduct: Students enrolled in the university are expected to conduct
themselves in a manner compatible with the university’s function as an educational institution.
http://www.roosevelt.edu/StudentSuccess/Conduct.aspx
Resources
Academic Success Center: Disability Services, Peer Mentor Program, Tutoring
Chicago campus: room 128 of the Auditorium Building, (312) 341-3818.
Schaumburg campus: room 125, 847-619-7978. Email Nancy Litke at nlitke@roosevelt.edu
or Danielle Smith at dsmith51@roosevelt.edu .
Advising: Most undergrads; CCPA, Education, Honors and Hospitality Management
students are advised in their programs.
Chicago campus: room 1M10 Wabash Building, (312) 341-4340.
Schaumburg campus: SCH 125; (847) 619-7930

6. Blackboard Support, Training and Quick Guides: The Blackboard course management
system is supported by the RUOnline staff and by the Roosevelt University Help Desk.
Quick guides: http://www.roosevelt.edu/RUOnline/Students/BbTutorials.aspx
Training: http://www.roosevelt.edu/RUOnline/Students/BbTraining.aspx
Help desk: http://roosevelt.parature.com/ics/support/default.asp?deptID=15161
RUOnline: http://www.roosevelt.edu/RUOnline/ContactUs.aspx
Campus Safety:
Auditorium Building: (312) 341-2020
Gage Building: (312) 341-3111
Schaumburg campus: (847) 619-8989
Computer labs: A list of open labs is located here:
http://www.roosevelt.edu/ITS/labs.aspx
Counseling Center: Individual counseling, as well as group and couples counseling.
Chicago campus: room 470 Auditorium Building, (312) 341-3548
Schaumburg campus: room 114, (312) 341-3548
Financial Aid: Chicago campus: Mezzanine, Wabash Building, (866) 421-0935;
FAO@roosevelt.edu Schaumburg campus: room 125, (866) 421-0935;
FAO@roosevelt.edu
Library: Find everything you need to know at http://www.roosevelt.edu/Library.aspx
about the Auditorium Building library, the Schaumburg library and the Performing Arts
library.
Registrar: Registration, drop/add, withdrawal, transcripts, credit evaluation, graduation.
Chicago campus: Mezzanine floor, Wabash Building, (312) 341-3535;
registrar@roosevelt.edu
Schaumburg campus: room 125, (847) 619-7950; registrar@roosevelt.edu
RUWiFi: To access the university’s wireless network, either email
helpdesk@roosevelt.edu or call (312) 341-4357 for the connection key.
Writing Center: Tutors work with students on their writing, in person and online.
Chicago campus: room 442 Auditorium Building; (312) 341-2206;
writingcenter@roosevelt.edu