Delivered at:: Higher School of Law and Administration

Course type:: Elective course

When:: 2 year, 2 module

Instructor

Selivanovskiy, Anton

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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.).

Цель освоения дисциплины

The course provides the concepts and designs with the methodology to understand how derivative markets and strategies operate. The regulatory and risk framework is to be considered an integral part of the course in order to know its field of application. The course provides the tools for option valuation and Strategies in Financial Markets and Derivatives are integrated into the current market development (OIS, FRA; FX, Swaps, Short/Long, etc.).

Планируемые результаты обучения

Strategies in Financial Markets and Derivatives provide important input to those who need to develop their financial skills, as well as those interested in financial engineering research.

Содержание учебной дисциплины

Markets, Risk and Securities
Derivatives (handout)
Options Evaluation
Derivatives strategies

Элементы контроля

Activity
Defence

Промежуточная аттестация

2024/2025 2nd module
0.5 * Activity + 0.5 * Defence

Список литературы

Авторы

Позднева Татьяна Сергеевна

Master’s Programme 'Lawyer on the Global Financial Market'

Derivatives and Securitization Law

Instructor

Программа дисциплины