Instructor: Eric Belasco
Office Hours: TTH 11:00am - 12:00 noon, and by appointment
You can download the Syllabus
Presentations
- Groups
- Option Position Presentation Description
Presentations: spring wheat (call, put); winter wheat (call, put); live cattle (call, put) - Crop Insurance Presentation Description
Presentations: APH, GRP, RP, GRIP-HPO, LRP, and RI-PRF
Lectures
- Introduction to Futures and Forward Markets (notes)
Hull Chapters 1 and 2
CME Commodity Trading Manual (CME Publication)
Scene from Trading Places - Introduction to Options Markets (notes)
Hull Chapter 9
CME Options on Futures: The Basics (CME publication) - Hedging Strategies Using Futures and Options (notes)
Hull Chapters 3 and 11
25 Proven Strategies for Trading Options on CME Group Futures (CME publication)
- Risk and Uncertainty in Grain and Livestock Markets
Livestock Fundamentals
Hedging with Livestock Futures and Options
Heding with Grain and Oilseed Futures and Options - Valuing Options / Volatility (notes)
Hull Chapter 12, 13
Computing Historical Volatility
Computing Put/Call Premiums Using BSM formula - International Trade and Exchange Rate Volatility (notes)
Managing Currency Risks with Options
Currency Hedging Example - Risk and Uncertainty in Economic Theory
Nicholson Chapter 18
Computing Risk Aversion - Price Forecasting (slides)
- Crop Insurance and Derivatives
Crop Insurance slides
Weather derivatives
Homeworks
- Homework 1 Solutions - dist
- Homework 2 Solutions - dist - cornsorghum.xls
- Homework 3 Solutions - SWHRJuly2012.xls
- Homework 4 Solutions
- Homework 5 Solutions - SWHRPrices.xls
- Homework 6 (due Apr. 25)
Exams
- Exam 1 (Feb. 8)
Exam with solutions
Expected learning outcomes
Practice Exam
- Exam 2 (Mar. 9)
Exam with solutions
Expected learning outcomes
Practice Exam - Exam 3 (Apr. 13)
Exam with solutions
Practice Exam
- Final Exam (May 3, 8:00am-9:50am)
Links of interest
- CME Group
- Minneapolis Exchange
- Kansas City Board of Trade
- The International Commodity Exchange
- Barchart.com
- Oanda Currency Converter
