​
DER 09.1 Products and strategies: Stock index futures
The cost of carry model
​
-
Required reading
-
Whaley, 2006 Ch. 14 Stock index products: Futures and options
-
Whaley, 2006 Ch. 15 Stock index products: Strategy-based
-
​
-
Lecture notes
​
​
DER 09.2 Products and strategies: Stock index options
Valuation models show how stock index options can be used to structure various types of index products such as protected equity notes and portfolio insurance.
​
-
Required reading
-
Whaley, 2006 Ch. 14 Stock index products: Futures and options
-
Whaley, 2006 Ch. 15 Stock index products: Strategy-based
-
Bollen and Whaley 2004 Does net buying pressure affect the shape of implied volatility functions? JF
-
​
-
Lecture notes
​
DER 09.3 Products and strategies: Stock products
Futures and options on individual stocks are also traded on exchanges and in over-the-counter (OTC) markets, and lend themselves to various strategies such as capturing dividends and acquiring shareholder voting rights.
​
-
Required reading
-
Whaley, 2006, Ch. 11, Stock products
-
Frankel, 2012, Dividend play in S&P 500 ETF goes awry, costs traders $20 million
-
​
-
Lecture notes
-
Supporting files​
​
​
DER 09.4 Products and strategies: Volatility products
The most common OTC stock option contract category is executive stock options. Understanding how to value these contracts is critical in measuring the economic impact that they have on shareholder wealth.
​
-
Required reading
-
Whaley, 2006, Ch. 13, Compensation contracts
-
​
-
Lecture notes
-
Supporting files​
​
DER 09.5 Products and strategies: Compensation contracts
The most common OTC stock option contract category is executive stock options. Understanding how to value these contracts is critical in measuring the economic impact that they have on shareholder wealth.
​
-
Required reading
-
Whaley, 2006, Ch. 13, Compensation contracts
-
​
-
Lecture notes
-
Supporting files​
​
​
​