Derivatives and Securitization Law

2024/2025

Academic Year

RUS

Instruction in Russian

3

ECTS credits

Delivered at:

Higher School of Law and Administration

Course type:

Elective course

When:

2 year, 2 module

Instructor

Selivanovskiy, Anton

Программа дисциплины

Аннотация

This course develops both empirical and theoretical frameworks for the application of Strategies in Financial Markets and Derivatives to overall investment decisions. The course is divided into 5 parts. Part I provides knowledge on Markets, Risk and Securities being those elements at the basis of the assessment of risk-return and the related theoretical framework. Part II on derivatives introduces derivatives and their use and benefits in terms of risk management, market efficiency, and investment in FIIs and FDIs. Case studies, regulation and CPPs complete the subject. Part IV is devoted to Options Evaluation where basic notions of statistics, probability and econometrics are first provided. The Black & Scholes model is illustrated versus the Monte Carlo evaluation. The Put-Call-Spot Parity as a no-arbitrage condition is given. Option’s sensitivities (Greeks) as risk measures are shown. Part V is dedicated to Derivatives strategies depending on market sentiments and conditions (e.g. bullish vs. bearish). Implications in terms of Financial Stability are discussed in practice with reference to some indices (e.g. MOVE/VIX) and market instruments (e.g. FRA, OIS, etc.).