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FULL-TIME MBA
ADM717 Options and Derivatives (20 hours)
Prof.: Carlos Heitor Campani, Ph.D.

email: carlos.heitor@coppead.ufrj.br

Course Overview
This course covers options, forward contracts, future contracts, and swaps. Among the
numerous topics, we investigate arbitrage relationships and hedge portfolios as well. We
analyze different trading strategies with options (and other derivatives), understanding
the risk and return profile of these strategies. Valuation techniques will be studied in
both discrete and continuous time: in particular the Black & Scholes model will be
investigated in detail. Risk-neutral valuation will also be extensively discussed. Please
note that the material is taught at an advanced level and that you will require a good
understanding of mathematics in order to learn the material covered in the course.

Course Objectives
By the end of this course students are expected to have a very good knowledge of how
these contracts work, how they are used as by themselves and as part of a portfolio (in
hedge, arbitrage and speculative strategies), and how they are priced.

Course Pedagogy

Lectures (students participation is fully encouraged)

Exercises (some will be discussed in class)
Home readings
Assignments and/or exam(s)

Course Outline

Introduction to the Derivatives Market

Forward and Future Contracts: Trading Strategies and Pricing
Interest Rates, Bonds and Forward Rates
Swaps
Plain Vanilla Options: Properties and Trading Strategies
The Binomial Pricing Model for Options
The Black and Scholes Model
Monte-Carlo Simulation for Exotic Options

Participants Evaluation
Two exams. Assignments, group works and participation in the sessions may also count.

Textbook for the Course

Options, Futures and Other Derivatives, John C. Hull, 8th or 9th Edition.
Alternatively, the simplified version of this book can be used in case students already
have it: Fundamentals of Futures and Options Markets, John C. Hull, 8th Edition.

Tips for Interested Students

This course is interesting and useful if participants have interests on financial markets.
Students should have a good mathematical background and be interested in
mathematical developments.
Students must organize themselves not to miss any session.
Students must separate from 8 to 10 hours between two sessions in order to study and
do the tasks demanded for the next session.
The textbook is mandatory because many readings from it will be suggested. It really
facilitates the student evolution in the course and improves the understanding of the
concepts discussed in class. At the end of each session, chapters will be suggested for
reading.
Notice that this is a 20-hour course and that the suggested home readings are a crucial
part of it. I will not have time to discuss in class all details presented in the book.
Students must make sure to read all suggested chapters.

Prof. Carlos Heitor Campani

Carlos Heitor Campani holds a Ph.D. degree from EDHEC Business School (France)
and a M.Sc. degree from COPPEAD Graduate School of Business at the Federal
University of Rio de Janeiro (Brazil), both in Finance. He completed in 2014 a PostDoc position at Princeton University (USA). He is currently Professor of Finance at
COPPEAD Graduate School of Business, from the Federal University of Rio de Janeiro
and a Research Associate of EDHEC-Risk Institute (France). His objective is to conduct
leading research in Finance and his focus is in areas such as optimal portfolio and
consumption strategies, asset pricing, project valuation, derivatives and risk analysis,
real options, empirical finance and Brazilian private pension plans. He is currently the
chief editor of the international journal Latin American Business Review, published by
Taylor & Francis. He has taught for several international institutions such as EDHEC
Business School in France, London and Singapore, the International University of
Monaco and Pittsburgh University. His Ph.D. thesis dealt with optimal consumption and
asset allocation under recursive utility and regimes in asset returns. He has made
presentations to industry members and academics in Brazil, London, Monaco and
Princeton. He also acts as a financial consultant, having already worked for many
important companies located in Brazil such as TIM, Zayd Group, Light Corp.,
Investidor Profissional, SENAC, Laep Investments and Bocater, Camargo, Costa e Silva
Advogados Associados. Carlos Heitor is currently the President of Alumni COPPEAD.