This page provides a link to the material for
Advanced Derivative Securities (BUS 419).

Click here for BUS 419 Course Outline
Click here for the BUS 419 course syllabus

Click here for outline of the trading game
and Example of where to find Trade 1 info and Example of Trade 1 submission
Example of Trade 2 and Example of Trade 3 and Example of Trades 4 + 5
Word Template for Trades
Example of Profit Calculation for Trades

Click here for the *new* math pre-test

Click here for group presentation module
Description of Presentation Scoring and Example 1 of Optional Writeup and Example 2
Click here for the link to the presentations page.
Click here for Group formation information
Click here for group evaluation form (Optional, only if needed)

Link to the CME site. and Link to CBOE site

Click here for Lecture Recordings These recordings are a legacy item from Fall 2020 when courses were on-line.
Not advisable to use as a substitute for attending lectures as the course has changed somewhat and the scheduling is not synched.
Mac users with OS higher than Mojave will have to use Windows as the files are 32 bit.

Explanation of Scoring System

Important information about procedures for absence due to illness
University policy on academic honesty S10.01
Note that takehome examinations are individual work and no sharing of answers is allowed.
Please consult S10.01, Schedule A, Sec. 2.3.6: a) using or attempting to use another individual's answers;
b) providing questions and/or answers to other individuals. These actions are considered under S10.01 to be cheating .

Prerequisite and Background Material
Click here for BUS 316 assignment questions for review.
Click here for BUS 316 Math Pretest
Click here for the Notes on the Binomial (Corrected)
Click here for the 316 sample final
Click here for Cumulative Normal Table and Basics of CDF and PDF

Zip file with British Museum cuneiform pictures

Background material from CME website -- scroll down to courses, play the trading simulation, etc.
See also CME course videos
CME Investor Relations (CME-Q)

Historical time lines


For those that would like to have .ppt files of the lectures:
Click here for Lecture 1 Introduction + Course Details.
Click here for Lecture 2 History from Ancient Times to 18th Century.
Reading for Lectures 2 and 3 Chapter 9 from Early History and Chapter 3
Click here for Lecture 3 History of 19th century to Present with Debacles.
Click here for Lecture 4 Basis, Arbitrage and Applications to Different Commodities.
Early history of Eurodollar market
Eurodollar to SOFR transition
CME Video Courses on SOFR Click on top left for all 8 course modules. See also CME overview
Click here for Lecture 5 Speculative Trading Strategies for Futures and Forwards.
Click here for Lecture 6 Risk Management with Corporate Applications.
Click here for Lecture 7 Theory of Optimal Hedging and Transaction Hedging.
Click here for Lecture 8 Review of Option Basics from BUS 316.
Some examples of data from CBOE VIX and OVX
Lectures 9 and 10 are allocated to student presentations.

Click here for Lecture 11 Deriving the Black-Scholes formula with Extensions. Calculus Basics and Time path ensemble and
Mathematica IV program

Click here for Lecture 12 and Greeks for Strategies Speculative Trading Strategies for Options using Greeks (Lecture 12 examples for inputs)..
Delta Neutrality for Strategies and Excel Strangle 18-3 example (-->Formulas-->toggle Show Formula for solutions).
Excel Straddle from Summary using Lecture 12 examples (see Greeks for Strategies programs).
Programs for 20-3 Q#5 (no Summary provided) and Programs for 22-2 Q#5

Click here for the last Lecture Portfolio Insurance + ESO + Exotic Options + Other topics.
Prices during Oct. 87 crash + Final Exam Review

Info on mathematica programs: (* ... *) indicates a comment; //N means calculate a number (this has no impact on the equation being evaluated only on the output format); % means use the previously calculated value; ( ... ) indicate brackets used in evaluating equations; [ ... ] are used for functions, e.g., Sqrt[9] = 3 where Sqrt is the function to be evaluated; CDF[.] is the cumulative density function; * is multiplication, e.g., 2 * 2 = 4; ^ is raise to exponent, e.g., 5^2 = 25.
Student version for Mathematica It is possible to purchase a license for one term that is cheaper -- check the site.
Information about mathematica download if site license is available It was available in the past and we are working on getting it back but ...

For those having font problems here are some links that enable you to download various fonts that are missing on your machine. If you do not have WordPerfect fonts on your machine, download the following .zip file and copy the font files to the \windows\fonts subdirectory: fonts.zip If you are still having trouble with equations try: Wordperfect trial download


Click here for the group presentation slide shows

Past copies of examinations

Midterm Exams

Click here for the 23-2 midterm
Click here for the 22-2 midterm

Click here for Example Answer 22-2, Q1

Click here for the 20-3 midterm
Click here for the 20-2 midterm
Click here for the 19-3 midterm
Click here for the 19-2 midterm
Click here for the 18-3 midterm
Click here for the 17-2 midterm
Sample answer for 17-2, #1a)
Click here for the old sample mid-term
Click here for the 15-2 midterm
Click here for the 15-1 midterm
Click here for the 13-1 midterm
Click here for the 12-1 midterm
Click here for the 11-3 midterm
Click here for the 11-1 midterm
Click here for the 10-1 midterm
Click here for the 07-1 midterm
Click here for 05-1 midterm
Click here for the 04-1 midterm

Final Exams

Click here for 23-2 final
Click here for 22-2 final
Click here for 20-3 final
Click here for 20-2 final
Click here for 19-3 final
Click here for 19-2 final
Click here for 18-3 final
Click here for the 17-2 final
Click here for the 15-1 final
Click here for the 13-1 final
Click here for the 12-1 final
Click here for the 11-3 final
Click here for the 11-1 final
Click here for the 10-1 final
Click here for the 07-1 final
Click here for the 05-1 final
Click here for the 04-1 final
Click here for sample final
Old Game Info
10-1 Game file and 11-1 game
Game for 11-3
Game for 12-1 and Game Update for 12-1
Game Update for 12-1 #2
Game for 13-1


Supplementary Material for Lectures
Solution for 1b) 15-1 midterm
CIP for currency futures and Euro$
Deriving the Tailed Spread Profit Function
Tandem Profit and Hedge ratio
Soy Crush Trade Explanation
CME Soybean Crush Guide
Stereo profit and Tail + Hedge Ratio
Soy Crush Price Explanation
CME Institute Metal Spread Primer
CME Institute Crack Spread Information
CME primer on energy calendar spread options
Standard Deviation is sub-additive
VaR is not sub-additive
Standard deviation is coherent
Overview of Enterprise Risk Management
Why VaR is desirable despite not being sub-additive
What is Risk?
Coherent Risk Measure Properties
Info on IFRS and FASB standards for hedge accounting
Posthumus (1929) and Garber (1989) Two articles on the Tulipmania .
Chapter 8 and Chapter 10 Chapter 8 on stocks and Chapter 10 on manias from Early History.
Tokugawa Japan Rice Forward and Futures See also 'Japan Rice Futures' below.
Library link to Commodity Risk Management
MGRM debacle (JACF 1995)
Credit Suisse report on Archegos debacle
AIMCo Volatility Strategy debacle
Primer on SPAN methodology for determining CME margins
Methodology of calculating the VIX on CBOE
CME delivery information and ICE delivery information and Some ICE examples .
CME transition from Eurodollar to SOFR
The end of open-outcry?
How Bitcoin Futures are Calculated
Exchanges for calculating Bitcoin Futures


Here are some interesting magazine articles to ponder:
Value at Risk A summary on the Value at Risk methodology from Financial Analysts Journal, Mar/Apr 2000.
Tails, Turtles and Stereos My article from the Journal of Derivatives, Winter 1997. Please note there are a number of typos in this article which need to be correct. The corrections can be found here
Can You Derive Market Volatility Forecasts from the Observed Yield Curve Convexity Bias? from the Journal of Fixed Income (1997). (Relevant to risk management for fixed income securities.)
Chapter 9 on the early history of derivative security trading from 'Early History of Financial Economics' same as link above under Lecture 2. Discusses the 16th to 18th century development of derivative security trading.
Early history of Eurodollar market
Japan rice futures market
The Madoff 'arbitrage'
US Senate Madoff hearing
Hedging by shale drillers
One day volatility trading
Is an IV formula possible?
CME Video Courses on SOFR Click on top left for all 8 course modules. See also CME overview




Those wanting .pdf files of the chapters used in BUS 419 can download here. These files are not a complete copy of the book.
There is a digital version in the Library catalog.
Here is the copy of chapter 9 that is not included in the above .zip file. Click here for chapter 9
and for Appendix 1 (PV and Taylor series) and Appendix 2 (Money Market Calculations) Click here
Appendix 1 has the calculation of the variance for a hedge portfolio used in Lecture #7.
Appendix 3 Mathematics for Options Valuation (There is also a digital version of RSD on the Library website).
Commodity Risk Management (digital version available in Library catalog)



Click here for Lingling Liao's project on Risk Management in the Gold Mining Industry


Link to a page with selected readings from Security Analysis

In the event that any link on this page does not activate, the server is probably down or whatever, please try again later and if you are still unsuccessful, notify me by email at poitras@sfu.ca