Futures and Options


This course is designed for students who are not necessarily from the area of Finance or have not yet completed or followed the course of Investments. Its content is intended to be an introduction to derivatives, focusing on their economic content, strategic use and little mathematics. We introduce the basics derivatives instruments namely futures, forwards, swaps and options. The last four classes (on options) repeat material taught in the course of Investments. The course is also about financial markets in the sense that explores the uses of such instruments, their pricing principles and trading mechanisms.

General characterization





Responsible teacher

João Amaro de Matos


Weekly - Available soon

Total - Available soon

Teaching language





  • John Hull, Options Futures and Other Derivatives, Pearson, New York, 2014.
  • Jarrow and Chatterjea, Derivative Securities, Financial Markets and Risk Management, Norton, New York, 2013.
  • Case Study: The B.F. Goodrich-Rabobank Interest Rate Swap
  • Teaching method

    - Lectures in class (twice a week);

    - Weekly quizzes on Moodle in order to revise regularly the material;

    - Students must follow the Khan Academy topics in order to prepare for classes;

    - An intermediate case study to be prepared and presented in group;

    - Final exam;

    Evaluation method

    •    Case studies    25%
    •    Quizzes    25%
    •    Final Exam    50%
    The Final Exam is not composed of exercises similar to those in the quizzes or those used in class as examples. Students are assumed to study beyond those exercises and examples and be able to use the general principles to solve other related problems

    Subject matter

  • Class 1: Introduction to Futures and Forwards (Nov 3, 14:30)
  • Class 2: Mechanics of Future Markets (Nov 4, 9:30)
  • Class 3: Hedging with forwards/futures (Nov 5, 16:00)
  • Class 4: Determination of forward and future prices (Nov 8, 16:00)
  • Class 5: Swaps (Nov 10, 14:30)
  • Class 6: Credit Default Swaps (Nov 15, 16:00)
  • Class 7: Options contracts, markets and strategies (Nov 17, 14:30)
  • Class 8: No-arbitrage principles (Nov 22, 16:00)
  • Class 9: Binomial trees and option pricing (Nov 24, 14:30)
  • Class 10: Case Study Presentation (Dec 6, 16:00)
  • Class 11: From Binomial tree to models of stock returns (Dec 9, 14:30)
  • Class 12: The Black-Scholes valuation for European options (Dec 12, 14:30)