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FIN452&537 Chapter 0 IntroToCourse SP25

The document outlines the course structure for Advanced Derivative Securities (FIN 452 & 537) taught by Professor Jian Cai, emphasizing its advanced, quantitative, and applied nature. It details prerequisites, course readings, grading requirements, class norms, and expectations for student participation and professionalism. Additionally, it highlights the importance of academic integrity and provides information on resources for students with disabilities.

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Jiajun Nie
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© © All Rights Reserved
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17 views11 pages

FIN452&537 Chapter 0 IntroToCourse SP25

The document outlines the course structure for Advanced Derivative Securities (FIN 452 & 537) taught by Professor Jian Cai, emphasizing its advanced, quantitative, and applied nature. It details prerequisites, course readings, grading requirements, class norms, and expectations for student participation and professionalism. Additionally, it highlights the importance of academic integrity and provides information on resources for students with disabilities.

Uploaded by

Jiajun Nie
Copyright
© © All Rights Reserved
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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Advanced Derivative Securities

Before We Start:
Introduction to the Course

Professor Jian Cai


Adventureland of FIN 452 & 537

Prerequisites:

FIN 451 / 524 Deeper understanding


Options & Futures on derivative securities

FIN 452 & 537


FIN 451 / 524B Advanced Asset pricing theories,
Derivative Securities Derivative assumptions & methods
Securities
FIN 538
VBA Programming to
Stochastic Foundation
implement models
for Finance

2 FIN 452 & 537 / Jian Cai / Spring 2025


Course Philosophy

 This is an advanced course:


 Builds on previous courses on derivatives

 This is a quantitative course:


 A lot of stochastic calculus, theories, and methods

 This is an applied course:


 Hands-on implementation of models for pricing and
hedging instruments in real markets

3 FIN 452 & 537 / Jian Cai / Spring 2025


Course Readings

 Kerry Back, Springer


 Required textbook
 Chapters 1-9 & Appendix A
 Available through our online
library catalog (see syllabus
or click on the image):
Download PDF!
 VBA codes in an Excel file
and errata on Canvas

 Lecture notes (will be


posted on Canvas before
each class/chapter)

4 FIN 452 & 537 / Jian Cai / Spring 2025


Two Reference Books:
Fundamental Theories & Institutional Details

5 FIN 452 & 537 / Jian Cai / Spring 2025


Course Requirements & Grading

Requirement Weight Note

Eleven (one per week, due on Tuesday);


Homework 30% individual-based; grading based on
effort; submissions through Canvas

Sunday, February 23, first half; 3 hours,


Midterm Exam 30%
1:00–4:00 p.m., Simon 105, 110, 113

Tuesday, April 29, cumulative; 3 hours,


Final Exam 35%
6:15–9:15 p.m., Simon 105, 110, 112

Class attendance to be recorded,


Participation 5%
participation strongly encouraged

6 FIN 452 & 537 / Jian Cai / Spring 2025


Course Modality & Logistics
 In-person course modality
 Enrolled students are expected to attend class in person
unless officially approved for remote study
 Unauthorized sharing or usage of livestream links without
permission will be considered a violation of Code of Conduct
 This is to restore/enhance the signature of Olin education –
classroom participation, interaction, and collaboration
 Comply with the University health and safety protocols
(https://covid19.wustl.edu/health-safety/)

 Zoom meetings & recordings for class sessions and


optional HW help sessions (see Canvas under “Zoom”)

 Graduate business class schedule (see syllabus, page 4)


7 FIN 452 & 537 / Jian Cai / Spring 2025
Class Norms

Let’s strive for professionalism in the classroom:


 Arrive on time, start & end class on time
 Avoid distractions → electronics off/silent & self-discipline

 Avoid coming in and out during lectures


 One person talking at a time & mutual respect
 Laptops/tablets for only class-related tasks, e.g., note-taking

8 FIN 452 & 537 / Jian Cai / Spring 2025


Your Expectations of Me

 Your questions will be answered promptly and in detail!

 Course site in Canvas: All course materials and class


announcements will be posted there in a timely manner

 A lot of availability:
 Email: [email protected]
 Office: Simon Hall 285, or Zoom
 Phone: 314-935-4061 (to leave a voice mail)
 Office hours: Tuesdays & Thursdays, 10:30 – 11:30 a.m.,
or by appointment

9 FIN 452 & 537 / Jian Cai / Spring 2025


Other Important Matters

 Code of Conduct & Academic Integrity


 Any form of collaboration including discussing questions and
sharing answers with anyone (both inside and outside your
class) during an exam is strictly prohibited.
 Copying others’ homework or solutions to similar problems
from previous semesters or online as your own will be
considered plagiarism.
 Unauthorized usage, publishing, and redistributing of course
materials and homework/exam solutions is a violation of
intellectual property and will cause integrity issues.

 Disability Resources (DR)


(https://students.wustl.edu/disability-resources/)

10 FIN 452 & 537 / Jian Cai / Spring 2025


About Course, Syllabus, and Instructor

Any Questions?

11 FIN 452 & 537 / Jian Cai / Spring 2025

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