Instructional Web Page

The links on this page send you to various sites with teaching related material.

**Courses I teach:**

I currently teach three courses. One is a masters' level
online, asynchronous course called *Financial Risk Management.*
Another is a doctoral seminar called *Quantitative Finance and Derivative
Pricing*. I also teach an undergraduate special topics course called
*Risk and the Psychology of Finance*. If you have any questions
about teaching such courses and would like some advice, please shoot me an
email.

Here is a general descripton of hte courses I teach.

FIN 3910: Special Topics:
Risk and the Psychology of Finance

This course is essentially a course in
decision making under risk. Taught as a seminar for undergraduates, enrollment
is limited to 20-22 students. The course is delivered online via Zoom in a
synchronous manner, one day a week for two back -to-back 1-hour, 20-minute
sessions. The course uses no textbooks, nor does it have any exams, but there
are a substantial number of readings and more than 20 writing assignments. Most
are small but one is a research project requiring a paper and presentation in
which the student chooses someone who had to make a critical decision at some
time in history. Hence, the student can select some famous historical figure and
event and analyze it from a risk-return perspective. . A significant amount of
class participation is required to secure a good grade in this course. The
course focuses on building an understanding of the psychology of making
decisions under risk. While financial decisions are clearly important decisions
under risk, the course studies decisions that are common in life more generally,
such as those involving health, sports, , gambling, and business to enable the
student to understand the broader processes that make for good decision making.
We frequently identify the human biases that lead to poor decision making and we
look at the effect of luck in decision making. Each semester there are three
outstanding guest speakers who will share their life experiences in making tough
decisions. This cours is available for undergraduate students in any academic
discipline.

FIN 7400: Financial Risk Management

This course is offered online, asynchronously, which means no class meetings,
with the material delivered entirely by video. The course is the study of how
financial risk is identified and managed. Requirements include a mid-term and
final exam, a risk management project, and participation in weekly online forums
that deal with contemporary topics in risk management. The course uses a book
that I wrote called *Financial Risk Management:
An End User Perspective* (Singapore:
World Scientific Press, 2019). As the title indicates, the course is
from the end user’s point of view, meaning that if focuses on buyers of risk
management products, who are ordinarily at a severe disadvantage relative to
sellers. Such buyers would be corporations and non-profits. This buy-side
perspective contrasts with the sell-side perspective, which refers to the
financial institutions that offer these products. The aforementioned project
involves taking the perspective of a risk management consulting firm in
developing a real-world prospective buy-side client. This course is available
for masters’ students in finance as well as full-time, part-time, professional,
executive, and online MBA students. Qualified students can also come from STEM
fields as well as economics and accounting.

FIN 7720: The Process and
Methodology of Research

This doctoral seminar focuses on gaining an advanced and yet fundamental
understanding of stochastic models in derivative pricing. It uses my book *
Foundations of the Pricing of Financial Derivatives:
Theory and Analysis* (New York:
John Wiley, 2024), co-authored with Robert Brooks. The course is
delivered online synchronously via Zoom and meets one day a week for two 1-hour,
20-minute back-to-back sessions. Requirements include class participation,
student presentations of some of the material, and a small research project
using OptionMetrics data. We build the stochastic foundations of option pricing
models, including not only the celebrated Black-Scholes-Merton model but also a
model based on arithmetic Brownian motion. We cover European, American, and some
exotic options, term structure models, and numerical methods, as well as
forwards, futures, and swaps. The course is designed primarily for finance
students but virtually any student from STEM fields is qualified to take this
course. In the past students form chemistry, engineering, data science, and
mathematics have taken this course.

**Teaching Notes**

The following items are called *Teaching Notes*.
These are short technical notes in pdf format. I use them to fill in
material not covered or not adequately covered in a specific book I might be
using. Every effort has been made to ensure typographical and technical
accuracy, but no guarantees are made. If you find any errors, please let
me know. The naming convention yy-xx is based on the year that I first
wrote the document and the order in which it was written that year. Thus,
TN99-03 was the third document written in 1999.

*SPECIAL FOR THOSE WANTING TO LEARN DERIVATIVES:*
These notes are in the order in which I wrote them and do not build on each
other. Go to this page
for a suggested course of study that tells you which order you should read these
notes if you are using them to learn derivatives in general.

(FONT PROBLEMS? Many of these files were created when I used WordPerfect. I then converted them to Word but in some cases, they retained old fonts from WordPerfect. You may have trouble reading some of these due to font difficulties. If you do, please let me know (dchance@lsu.edu) and I will fix it.)

REMOVAL OF SOME ITEMS: Quite a few of these pdfs have
been removed as they are now incorporated into *Foundations of the Pricing of
Financial Derivatives: Theory and Analysis*, which is described on my
main web page.
Sorry, but I feel I have to protect my intellectual capital. The links
have been removed so no need to click. If you are interested in
the topic, it is covered in the book.

*Mathematical, Statistical, and Economic Foundations*- Teaching Note 97-01: The Normal Probability Distribution (September 27,2012)
- Teaching Note 97-05: The Bivariate Normal Probability Distribution (July 23, 2008)
- Teaching Note 99-03: Mathematics Review for Finance (July 23, 2008)
- Teaching Note 99-04: Probability and Statistics Review for Finance: Part I (July 18, 2008)
- Teaching Note 00-06: Probability and Statistics Review for Finance: Part II (July 18, 2008)
- Teaching Note 00-07: The Reflection Principle in Finance (October 5, 2010)
- Teaching Note 07-01: The Bernoulli Paradox (July 23, 2008)
- Teaching Note 09-01: Basic Concepts in Valuing Risky Assets and Derivatives (November 29, 2010)

*Option Pricing*- Teaching Note 96-02: Risk Neutral Pricing in Discrete Time (July 24, 2008)
- Teaching Note 96-04: Modeling Asset Prices as Stochastic Processes I (July 18, 2008)
- Teaching Note 96-05: Ito's Lemma and Stochastic Integration (July 18, 2008)
- Teaching Note 97-13: Option Prices and State Prices (July 18, 2008)
- Teaching Note 98-01: Closed-Form American Call Option Pricing: Roll-Geske-Whaley (July 24, 2008)
- Teaching Note 98-02: Analytic Approximation of American Option Prices: Barone-Adesi-Whaley (July 18, 2008)
- Teaching Note 98-03: Closed-Form American Put Option Pricing: Geske-Johnson (July 18, 2008)
- Teaching Note 98-04: Exchange Option Pricing (June 3, 2017)
- Teaching Note 98-05: Compound Option Pricing (July 18, 2008)
- Teaching Note 98-06: Rainbow (Min-Max) Option Pricing (July 18, 2008)
- Teaching Note 99-02: Derivation and Interpretation of the Black-Scholes Model (October 15, 2014)
- Teaching Note 99-05: Rational Rules and Boundary Conditions for Option Pricing (July 25, 2008)
- Teaching Note 00-01: Linear Homogeneity, Euler's Rule, The Black-Scholes Model, and an Application to Forward-Start Options (July 26, 2012)
- Teaching Note 00-03: Modeling Asset Prices as Stochastic Processes II (July 8, 2008)
- Teaching Note 00-04: Girsanov's Theorem in Derivative Pricing (July 18, 2008)
- Teaching Note 00-05: Brownian Motion: From Discrete to Continuous Time (July 12, 2010)
- Teaching Note 00-08: Convergence of the Binomial to the Black-Scholes Model (July 8, 2008)
- Teaching Note 03-01: Option Prices and Expected Returns (August 7, 2008)
- Teaching Note 04-01: The Volatility Smile (August 7, 2008)
- Teaching Note 11-01: The Isomorphism of Foreign Currency Calls and Puts (January 6, 2011)

*The Term Structure and Interest Rates*- Teaching Note 97-03: The Vasicek Term Structure Model (August 7, 2008)
- Teaching Note 97-04: The Cox-Ingersoll-Ross Term Structure Model (August 7, 2008)
- Teaching Note 97-14: Binomial Pricing of Interest Rate Derivatives (August 15, 2008)
- Teaching Note 00-02: The Local Expectations Hypothesis (August 15, 2008)
- Teaching Note 01-01: Zero Coupon Bond Prices and Interest Rate Quotation Conventions (August 15, 2008)
- Teaching Note 01-02: Introduction to Interest Rate Options (August 15, 2008).
- Teaching Note 02-01: The Heath-Jarrow-Morton Term Structure Model (August 19, 2008)
- Teaching Note 05-01: The Pricing and Interest Sensitivity of Floating-Rate Securities (August 1, 2013)
- Teaching Note 18-01: Pricing Interest Rate Swaps with Limited Term Structure Information (May 25, 2018)
- Teaching Note 18-02: Pricing Interest Rate Swaps with Rollover Floating Rates (May 25, 2018)
- Teaching Note 18-03: Pricing Interest Rate Swaps with Bonds vs. Forward Rates (May 25, 2018)
- Teaching Note 18-04. Pricing
and Valuing LIBOR Interest Rate Swaps witgh OIS Discounting (June 5,
2018)

*Forwards, Futures, and Swaps*- Teaching Note 97-06: Pricing and Valuation of Interest Rate and Currency Swaps (July 31, 2013)
- Teaching Note 97-08: Pricing and Valuation of Commodity Swaps (August 19, 2008)
- Teaching Note 97-15: Pricing and Valuation of Equity Swaps (August 20, 2008)
- Teaching Note 05-03: A Generalization of the Cost of Carry Forward/Futures Pricing Model (August 20, 2008)
- Teaching Note 12-01: Pricing and Valuation of Amortizing Interest Rate Swaps (August 1, 2013)
- Teaching Note 13-01: Pricing and Valuation of Adjustable Interest Rate Swaps (November 23, 2015)

*Numerical and Computational Methods*- Teaching Note 96-03: Monte Carlo Simulation (January 11, 2011)
- Teaching Note 97-02: Option Pricing Using Finite Difference Methods (August 21, 2008)
- Teaching Note 97-12: Calculating the Black-Scholes Value (August 21, 2008)
- Teaching Note 99-01: Solving Linear Equations in Excel (August 21, 2008)
- Teaching Note 05-02. Calculating the Greeks in the Binomial Model (June 10, 2010)

*Trading and Risk Management**Credit Risk*

These items were written for my MBA introductory course in finance. They are designed to supplement and elaborate on certain material that is not covered adequately in the text. I may add some more from time to time. These notes are distinguished from the ones above by the fact that these are relatively non-technical in comparison to those above.

- MBATN07-01: The Change in Net Working Capital in a Capital Investment Project (November 16, 2008)
- MBATN07-02: Some Problems with the Profitability Index (December 18, 2007)
- MBATN07-03: Derivations of Present Value Formulas (December 5, 2014)
- MBATN07-04: Some Problems in Capital Budgeting Terminology (December 2, 2009)
- MBATN07-05: Geometric and Arithmetic Rates of Return (November 17, 2017)
- MBATN07-06: The Capital Asset Pricing Model, Stock Pricing, and Expected and Required Returns (December 5, 2014)
- MBATN07-07: Margin Trading and Short Selling (November 16, 2008)
- MBATN08-01:* (dropped)
- MBATN08-02: Net Present Value Analysis of the Purchase of a Hybrid Automobile (December 2, 2009)
- MBATN08-03:* (dropped)
- MBATN09-01: Summary of Present Value and Net Present Value Concepts (December 2, 2009)
- MBATN10-01: Measuring Market Movements with Stock Indexes (December 5, 2014)
- MBATN10-02:* (dropped)
- MBATN10-03: The Fundamental Principle of Arbitrage (December 19, 2010)
- MBATN14-01: Growth, Retention, and Reinvestment Rates in the Discounted Cash Flow Model (December 3, 2015)
- MBATN14-02: Why Present Value Must be Lower the Further Out, Even if the Discount Rate is Lower (December 3, 2015)
- MBATN17-01: The Effect of Costs on Investment Peformance (July 13, 2017)
- MBATN18-01: The Rule of 72 (January 22, 2018)
- MBATN18-02: Exponentials, Logarithms, and Continuous Compounding in Finance (December 13, 2018)
- MBATN18-03:
Imports, Exports, and Free Trade Agreements: The Truth (December 19, 2018)

*MBATN08-01 (Calculating Your Wealth) has been removed because I now use it as a presentation during our MBA orientation. If you are interested in this case and spreadsheet, email me at dchance@lsu.edu. MBATN08-03 has also been removed.

**Other Useful Information**

- The 10 Most Common Writing Mistakes (in my humble opinion)
- Advice for Graduating Seniors and Graduate Students
- My Teaching Philosophy

*Last updated: *May 4, 2023