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Fe5103 0809

This document provides information on the FE5103 Equity Products and Exotics course for Semester 2 AY 2008/2009. It will be taught by Kang Wenjin and covers equity derivatives, structured products, and exotic options applications. The course is divided into two parts and will assess students with tutorials, a group project, and a final exam, each accounting for 30%, 20%, and 50% of the grade respectively. Teaching methods include lectures, tutorials, and a project report. Required reading includes Derivatives Markets by Robert McDonald and supplementary reading is Options, Futures, and Other Derivative Securities by John C. Hull.

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Felix Chew
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342 views1 page

Fe5103 0809

This document provides information on the FE5103 Equity Products and Exotics course for Semester 2 AY 2008/2009. It will be taught by Kang Wenjin and covers equity derivatives, structured products, and exotic options applications. The course is divided into two parts and will assess students with tutorials, a group project, and a final exam, each accounting for 30%, 20%, and 50% of the grade respectively. Teaching methods include lectures, tutorials, and a project report. Required reading includes Derivatives Markets by Robert McDonald and supplementary reading is Options, Futures, and Other Derivative Securities by John C. Hull.

Uploaded by

Felix Chew
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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FE5103 Equity Products and Exotics

Semester 2 AY 2008/2009

1. Module Lecturer(s): Kang Wenjin

2. Syllabus: The course is divided into 2 parts. Part 1 of the course


covers Equity Derivatives and Strategies and Equity
Linked Structured Products. The second part of the
course focuses on exotic options and applications to
Interest-rate, currency-linked and equity-linked
structured products.
Topics to be covered include:
Part 1 Equity Derivatives and Strategies
Structured Warrants, Equity Currency-Linked Options,
Equity Swaps, Principal Protected Notes, Non-Principal
Protected Yield Enhancement Equity-Linked Notes.
Part 2 Exotic Options and Applications to
Structured Products
Exotic Options
Forward Start Options, Digital Options, Barrier Options,
Lockback Options, Asian Options, Correlation Options.
Applications to Structured ProductsRange Accrual
Notes, Knockout Deposit, Dynamic Hedging for CPPI,
Relative Out-Performance Warrants, Dual Currency
Investments, Rainbow Equity-Linked Deposit, Swing
Capital Protected Fund.

3. Assessment (%): CA components:

(i) Tutorials: 30%

(ii) Group Project: 20%

Total for CA: 50%

Total for Final Examinations: 50%

Total Assessment: 100%

4. Mode of Teaching and Learning Lectures, Tutorials and Project report based on group
efforts.

5. Illustrative Reading List: Derivatives Markets, 2nd Ed., 2006, Pearson Addison-
(a) Compulsory reading: Wesley, Robert McDonald

(b) Supplementary reading: Options, Futures, and Other Derivative Securities, 7th
Edition, John C. Hull

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