University of Michigan Business School

Reading Assignments
Finance 618
Summer 2002

For "Index, Currency, and Futures Options"

Hull, Options, Futures, and Other Derivatives, 4th edition (2000) pages 273-297.

[Alternative] Hull, Introduction to Futures and Options Markets, 3rd edition (1998) pages 272-285, 289-302.

[Alternative] Chance, An Introduction to Derivatives, 4th edition (1998) pages 498-525, 529-550.

[Alternative] Chance, An Introduction to Derivatives and Risk Management, 5th edition (2001) pages 505-531, 535-556.

For "Hedging Parameter Uncertainty"

Hull, Options, Futures, and Other Derivatives, 4th edition (2000) pages 307-336.

[ Optional] Coval, Joshua D., and Tyler Shumway, 2001, "Expected Option Returns," in the Journal of Finance.

[Alternative] Hull, Introduction to Futures and Options Markets, 3rd edition (1998), pages 304-337 (chapter 14, "Hedging Positions in Options and the Creation of Options Synthetically")

[Alternative] Chance, An Introduction to Derivatives, 4th edition (1998) pages 139-147, 681-691.

[Alternative] Chance, An Introduction to Derivatives and Risk Management, 5th edition (2001) pages 170-184, 200-206, 690-699.

For "Options and Dividends"

Hull, Options, Futures, and Other Derivatives, 4th edition (2000) pages 257-261, 388-403.

[Alternative] Hull, Introduction to Futures and Options Markets, 3rd edition (1998) pages 263-265, 359-373.

[Alternative] Chance, An Introduction to Derivatives, 4th edition (1998) pages 130-132, 147-151, 159-167.

[Alternative] Chance, An Introduction to Derivatives and Risk Management, 5th edition (2001) pages 128-137, 184-189.

For "Exotic Options"

Hull, Options, Futures, and Other Derivatives, 4th edition (2000), pages 458-475 (chapter 18, "Exotic Options," distributed in class).

[Alternative] Chance, An Introduction to Derivatives and Risk Management, 5th edition (2001) pages 658-671.

For "Review of Fixed-Income Fundamentals"

Hull, Options, Futures, and Other Derivatives, 4th edition (2000) pages 87-100, 108-114.

[Alternative] Chance, An Introduction to Derivatives and Risk Management, 5th edition (2001) pages 579-621.

For "Interest Rate Futures"

Hull, Options, Futures, and Other Derivatives, 4th edition (2000) pages 101-108.

[Alternative] Chance, An Introduction to Derivatives and Risk Management, 5th edition (2001) pages 456-481.

For "Pricing and Hedging Swaps"

Hull, Options, Futures, and Other Derivatives, 4th edition (2000) pages 121-145.

[Alternative] Chance, An Introduction to Derivatives and Risk Management, 5th edition (2001) pages 579-621.

For "Interest Rate Options"

Hull, Options, Futures, and Other Derivatives, 4th edition (2000) pages 530-559.

[Alternative] Chance, An Introduction to Derivatives and Risk Management, 5th edition (2001) pages 579-621.