Lecture
Notes (Powerpoint Slides)
We outline 3 possible courses which can be used with our 'lecture
note' Powerpoint slides based on specific chapters of 'Financial
Engineering : Derivatives and risk Management', K. Cuthbertson and
D. Nitzsche (J. Wiley, 2001).
These courses could be at MSc or MBA (specialisation) level or
on final year undergraduate courses in finance.
These Powerpoint slides consist of those from the book itself but
also include many more, which then provide a complete set for use
as 1 semester course (e.g. 10 x 2 hour lectures plus 1 hour seminar).
The slides are all in a common style. They should be used in conjunction
with the relevant Excel and Gauss files for each chapter, as well
as the end-of-chapter 'questions' (Answers to the latter are available
on the J.Wiley website, to lecturers who adopt the book).
From time to time we will update these 'lecture notes' slides.
Please acknowledge the source : K.Cuthbertson and D. Nitzsche (September
2001)
Lecture Course : Derivatives Markets : An Introduction
Chp01
- Derivatives : An Overview
Chp02
- Futures Markets
Chp03
- Stock Index Futures
Chp04
- Currency Forwards And Futures
Chp05a
- Forward Rates and Yield Curve
Chp05b
- Short Term Interest Rate Futures
Chp06
- T-Bond Futures
Chp07
- Options Markets
Chp08a
- Options Pricing (BS)
Chp08b
- Options Pricing (BOPM)
Chp09
- Hedging and Volatility
Note that the slides in Chp05a - Forward Rates And Yield Curve provide
basic material, which is useful for understanding material in Chp05b
- Short Term Interest Rate Futures and Chp06 - T-Bond Futures.
Lecture Course : Advanced Derivatives Markets
Chp10
- Option Spreads And Stock Options
Chp11
- Foreign Currency Options
Chp12
- Futures Options
Chp13
- Portfolio Insurance
Chp14
- Swaps
Chp15
- Interest Rate Derivatives
Chp16
- Complex Derivatives
Chp17
- Asset Price Dynamics
Chp18
- Pricing Interest Rate Derivatives
Chp19
- Real Options
Lecture Course : Risk Management and Regulation
Chp08a
- Options Pricing (BS)
Chp08b
- Options Pricing (BOPM)
Chp09
- Hedging And Volatility
Chp13
- Portfolio Insurance
Chp20
- Regulation Of Financial Institutions
Chp21
- Regulatory Framework In The UK And USA
Chp22a
- VaR : RiskGrades
Chp22b
- VaR : Market Risk
Chp23
- VaR : Mapping Cash Flows
Chp24
- VaR : Statistical Issues
Chp25
- Credit Risk
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