FIN803 Derivatives

Obchodně podnikatelská fakulta v Karviné
léto 2007
Rozsah
1/2/0. 6 kr. Ukončení: z.
Garance
Katedra financí a účetnictví – Obchodně podnikatelská fakulta v Karviné
Omezení zápisu do předmětu
Předmět je otevřen studentům libovolného oboru.
Cíle předmětu
This course will require prior finance knowledge and advanced mathematics skills. The finance concepts that a student should have some knowledge of are, time value of money and bond and stock valuation. The math skills needed are the ability to take first and second derivatives.
Osnova
  • Struktura výkladu:
    1. Review of time value of money, option basics and calculus, Chapters 1 and 2 in Chance: 1: Introduction, 2: The Structure of Options Markets.
    2. Chapter 3 in Chance: Principles of Option Pricing.
    3. Chapter 5 in Chance: Basic Option Strategies.
    4. Chapter 7 in Sercu and Uppal: Pricing Currency Options Using the Binomial Model. Demonstration of Option Tutor computer program.
    5. Chapter 4 in Chance
    6. Chapter 8 in Sercu and Uppal: Pricing European Options: The Lognormal Model.
    7. Chapter 8 in Sercu and Uppal: Pricing European Options: The Lognormal Model.
    8. Chapter 25 in Sercu and Uppal: International Capital Budgeting Using Option Pricing Theory.
    9. Chapter 7 in Chance: The Structure of Forward and Futures Markets
    10. Chapter 9 in Chance: Principles of Forward and Futures Pricing
    11. Chapter 14 in Sercu and Uppal: Risk and Return in the Forward Market (study the relationship between forward exchange rates and future spot exchange rate)
    12. Chapter 12 in Chance: Options on Futures.
    13. Chapter 13 in Chance: Foreign Currency Derivatives. Chapter 14 in Chance: Swaps and other Interest Rate Agreements.
    Obsah kurzu:
    1. Use the Excel spreadsheet program to create a file that uses the Black-Sholes Option Pricing Model to find the value of a "Call" option, the implied volatility of the call option, the call's delta, gamma, rho, vega and theta. These ideas are discussed in Chapter 4 in Chance.
    2. Use the Excel spreadsheet program to estimate hedge ratios a futures contract. The teacher has a CD that contains historic futures data (spot rates can be obtained on the Internet). The idea is discussed in Chapter 5 in Sercu and Uppal textbook.
    3. Use the Excel spreadsheet program to estimate a regression test of the relationship between futures rates and future spot rates. The teacher has a CD that contains historic futures data (spot rates can be obtained on the Internet. The relationship between forward rate and future spot rate discussed in Chapter 14 in Sercu and Uppal.
    4. Use the Excel spreadsheet program to compare the theoretical forward rate for exchange rates to the actual exchange rate. Obtain data from various issues of the Financial Times. Have at least 30 observations and 4 different exchange rates. The forward valuation model is discussed in Chapters 2, 3 and 4 in Sercu and Uppal.
    5. Use the Excel spreadsheet program to create a file that uses the Black-Sholes Option Pricing Model to find the value of a "Put" option, the implied volatility of the call option, the call's delta, gamma, rho, vega and theta. These ideas are discussed in Chapter 4 in Chance.
    6. Review and critique the contents of the following article: "The Collapse of Metallgesellschaft: Unhedgedable Risks, Poor Hedging Strategy, or Just Bad Luck?," by Franklin R. Edwards and Michael S. Canter, The Journal of Futures Markets, Vol. 15, No. 3, 1995, pp. 211-264.
    7. Review and critique the contents of the following article and textbook chapter: "Playing it safe with currency options," Euromoney, December, 1995, pp. 104-106; and Chapter 25: Financial Engineering (pages 911-940), in Introduction to Investments, by Haim Levy, SouthWestern, 1996.
    8. Review and critique the contents of the following chapter: Chapter Two: The Payment System and Derivative Instruments in The Global Financial System: A Functional Perspective by Dwight B. Crane, Kenneth A. Froot, Scott P. Mason, Andre F. Perold, Robert C. Merton, Zvi Bodie, Erik R. Sirri, and Peter Tufano, Harvard Business School Press, Boston, Massachusetts, 1995.
    9. Review and critique the contents of the following article, "A Survey of Corporate Risk Management," The Economist, February 10, 1996.

Informace učitele
Kurz je ukončen zkouškou, která má písemnou formu. Podmínkou zkoušky je vypracování a obhajoba případové studie zaměřené na využití finančních derivátů v praxi.
Další komentáře
Předmět je dovoleno ukončit i mimo zkouškové období.
Předmět je zařazen také v obdobích zima 1990, léto 1991, zima 1991, léto 1992, zima 1992, léto 1993, zima 1993, léto 1994, zima 1994, léto 1995, zima 1995, léto 1996, zima 1996, léto 1997, zima 1997, léto 1998, zima 1998, léto 1999, zima 1999, léto 2000, zima 2000, léto 2001, zima 2001, léto 2002, zima 2002, léto 2003, zima 2003, léto 2004, zima 2004, léto 2005, zima 2005, léto 2006, zima 2006, zima 2007, léto 2008.