Classes Taught in the Hanley Center
FIN 481 Fundamental and Technical Trading
This class aims to teach the art and science of speculative foreign exchange trading focusing on fundamental and technical (western and eastern) methodology. Specifically, the students will learn:
1. Which U.S. fundamentals move the spot EUR market and how. This is applied economics.
2. Market analysis tied to both western and eastern technical analysis with reference toward trading the EUR. Partially behavioral finance.
3. Money management skills used in trading including a building a trading plan, trading logs and setting capital preservation parameters
4. Examining the psychology of trading and becoming a disciplined trader
5. Implementing trading plan in a ‘real’ FX environment under a set risk management policy. This is in the attempt to simulate a real trading desk job.
This class is driven by the practitioners’ knowledge of managing a Foreign Exchange hedge fund, specifically aimed at trading the EUR/USD. The class will learn the basics of managing money and speculative trading on the basis of economic analysis, western and eastern technical analysis (with an emphasis on candlestick charting), and psychological attitudes. The students will learn to watch the market, analyze profitable situations, and produce winning trades. The class will manage a $50K simulation speculation book and will also watch the professor trade a real money book in class.
FIN 481L Trading Lab (in conjunction with FIN 481)
This class is all about preparing the student to successfully interview for a position either full-time after graduation or for an internship in: proprietary funds, hedge funds, and energy or commodity companies: front, middle and back office. We focus on presenting the ‘package’: first impressions, effective communication, resume writing, cover letters, interviewing techniques (introduction questions, education and training questions, work background, skills and competencies, personality, values and goals, behavioral/situational questions and presenting job fit), researching companies, reference letters, and using McNew’s network. Also covered are job negotiation techniques, life financial budgeting, phone techniques and effective use of email and personal networks/references. Extensive interview homework questions, video work and role play.
FIN 482 Energy Markets
This class focuses on the more immediately useful energy market portfolio skills: physicality of natural gas market (transportation, storage, basis), natural gas pricing, natural gas portfolio transactions including producer and consumer hedging, basis risk management, plain vanilla options and Asian option hedging for natural gas, transportation, transmission, natural gas portfolio VaR (all models reviewed), VaR simulation produced, power pricing and risk management, weather hedging tools and calculations, credit derivatives and their use in energy, generation optimization and building forward curves, spark spread, crack spreads, oil basics including oil sands and pricing a tolling agreement.
FIN 483 Applied Options Trading (prerequisite FIN 481)
Applied Options Trading provides participants with a comprehensive and detailed analysis of options– pricing, risk characteristics, and their dynamic behavior in the context of the management of a portfolio of options or specific option strategies as determined by market view either directional or via volatility. The underlying market used is EUR/USD futures (EUR GLOBEX continuous front contract). The agenda initially addresses vanilla options, and through a combination of classroom-based teaching combined with computer-based simulations and exercises, offers a thorough and practical understanding of option pricing, how option combinations can be used to facilitate profit in all markets, arbitrage and dynamic hedging implications. Emphasis is on option strategic trading, position management, calculation of the option risks and optimization of profits. The class will use CQG as their analysis platform. Only basic mathematic skills are necessary.
FIN 484 Advanced Trading Techniques (prerequisite FIN 481)
This class focuses on the art of trading profitably. The art of trading is probably 10% of being able to pick the direction (using all available indicators, charts and tools); whilst 90% of success will come from appropriate capital and risk management. Appropriate leverage, when to take profits, when to have a stop loss, and hedging strategies are more critical than being able to call the direction right (some would argue that the ability to call a direction in day trading is almost impossible. The student twill learn to write short-term trading plans encompassing fundamental news events and technical charting, then implementing a longer view within four hour charts. It is encouraged that the student back-test trading ideas based on Excel analysis. Each student is expected to open a 'live/real' micro FXCM EUR account in U.S. dollars (range is $300 - $500).
FIN 485 Financial Modeling
The objective of this course is to strengthen students’ understanding of selected financial theory topics through the use of Excel and Visual Basic for Applications (VBA). While some theoretical material will be introduced during the course, the majority of the material will offer a thoroughly applied perspective of the financial theory presented elsewhere in the core and elective curriculum. Learning to do finance with Excel/VBA serves two purposes: it teaches important academic and practical finance principals, and it teaches how to implement the principals using the most important tool for financial analysis, Excel. The VBA language is a means to significantly enhance the power of Excel. Although the vast majority of computations covered in this course can be accomplished in standard Excel, in practice automating certain procedures is a must. Students are expected to be proficient in Excel, though most Excel requirements are covered in the last part of the main textbook. No prior understanding of Excel programming with VBA is required. VBA learning will occur in parallel with the main part of the course, and students are expected to advance their knowledge of VBA with minimal direction from the instructor.
FIN 486 Algorithmic Modeling Currencies
This class focuses on building algorithmic trading models using spot contracts with EUR and AUD base. We will work in 3 teams. The Professor will direct the model implementation toward the final goal (this semester) of hedging non trending EUR risk with AUD. The student teams will present the Excel model, the power point explanation of the model, the team training manual of the model upgrade and will work with outside FFF board members to provide independent validation of the current model. This semester the student teams will provide: anticipated EUR entry into a trend, anticipated EUR exit from trend due to GIRTH trigger (McNew, Futures Magazine, December 2008, ‘Adding Girth to Your Profits,’ page 18), stop-loss EUR implementation, AUD trend back testing, optimization of AUD trends, provide AUD GIRTH triggers, EUR/AUD correlation back testing, AUD correlation trigger to ‘hedge’ EUR exposition (daily) and final model of V3 = V2 (EUR anticipated trend entry/early trend exit GIRTH w/stop →all order based) + AUD additional position dollar weighted (w/stop) →manual implementation + AUD correlation trigger trade → manual implementation. It is necessary for the student to be proficient in Excel (review Simon Benninga, 3rd Edition, 2008, MIT, pages 841 – 1020) and helpful for the student to have advanced macro skills plus VBA. However, the course is team based, and learning advanced Excel is highly encouraged.
FIN 487 Bond Derivatives Seminar
The class is designed for implementation of fixed income analytics and to help those who want to pass CFA level 2. Topics include fixed income basics (price, yield, duration, convexity, VAL01, accrued interest, yield curve mgt., credit spreads), bond futures and cheapest to deliver (calculation and CTD options), duration mgt. (duration application for lengthening and shortening a portfolio around the interest rate cycle including cash drag), the repo market, callable bonds and bond ladders, asset backed securities and death bonds, mortgage backed securities (conventional mortgages, housing bubble, pass throughs, CMOs and strips including IOs and POs), inflation bonds, Fed Funds futures and binary options, and diversification and suitability analysis. Focus is also application based using Excel modeling and Bloomberg.