In-Class Material

These are the handouts distributed in print in class. Each one summarizes the material covered in that session and ends with practice problems.

Class	Date	Material Covered
Class 1	11/12	Payoffs and profits of option strategies, covered calls, protective puts and collars, straddles and strangles, spreads and no-arbitrage bounds, the lognormal distribution and partial expectations
Class 2	11/17	From binomial trees to Brownian motion, geometric Brownian motion, Itô’s lemma, the distribution, moments and growth rate of the stock price
Class 3	11/19	The replicating portfolio, the Black-Scholes PDE, risk-neutral pricing, the Black-Scholes formula, delta, implied volatility
Class 4	11/24	Options on assets paying a dividend yield, stock indices and currencies; options on futures and Black’s model
Class 5	12/1	The Greeks: delta, gamma, theta, vega and rho; packages, binary and gap options, forward start and chooser options
Class 6	12/3	Path-dependent options: lookback, Asian and barrier options; compound, exchange, basket and shout options

The normal distribution table is also distributed in class.