Кто читает:: Банковский институт

Статус:: Курс обязательный

Когда читается:: 2-й курс, 2 модуль

Abstract

The course is intended for the second year students enrolled in the Master's program "Financial Analyst" and is designed as one academic unit. Throughout this course derivatives markets together with their associated instruments and their risks are considered. The course covers major types of derivative instruments such as forwards, futures, swaps and options, and introduces their features as well as mathematical apparatus required for derivatives pricing and valuation. The course provides insight into derivative instruments practical use, especially hedging and managing portfolio risks. Throughout the course risks associated with derivative instruments are introduced and illustrated with real life examples of successful and unsuccessful applications of derivatives by financial institutions and corporations.

Learning Objectives

The objective of this course is to familiarize the students with the modern methods of analysis and evaluation of standard financial derivatives and with the construction of strategies. The course also pursues the goal of familiarization of students with the limits of applicability of the conventional models and the gaps in their respective derivations along with the presentation of ways of filling these gaps. The course is designed to combine the theory of financial derivative instruments and the practical functional aspects of the of derivatives markets

Expected Learning Outcomes

Identifying the basic types of derivatives: forwards, futures, swaps and options
Identifying main factors affecting the price of the considered instruments and basic techniques leading to no-arbitrage pricing of derivatives with the basic relationships between adjacent instruments
Understanding the methods and principles of the mathematical theory of finance as the foundation for options pricing
Ability to work with the Black-Scholes option pricing model: applicability for the definition of the price and risks of options, as well as its resulted from the underlying assumptions inability to accurately describe the real-world market processes without some amendments
Understanding of the main methodology of derivation of generic models for financial derivative instruments and necessary for their evaluation mathematical machinery

Course Contents

Types of Derivative Instruments and Their Characteristics
Markets and Valuation of Forwards and Futures Contracts
Swaps Markets and Valuation of Swaps Contracts
Options Markets and Valuation of Options Contracts
Introduction to Binomial Trees
The Black–Scholes–Merton Model and Brownian Motion Introduction
Credit Derivatives Markets and Instruments
Uses of Derivatives in Portfolio Management

Assessment Elements

Test given after every class
Final exam

Interim Assessment

2024/2025 2nd module
0.5 * Final exam + 0.5 * Test given after every class

Bibliography

Recommended Core Bibliography

Hull, J. C. (2017). Options, Futures, and Other Derivatives, Global Edition. [Place of publication not identified]: Pearson. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1538007
Paul Wilmott. (2013). Paul Wilmott on Quantitative Finance. [N.p.]: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=185503

Recommended Additional Bibliography

Keith Cuthbertson, Dirk Nitzsche, & Niall O’Sullivan. (2019). Derivatives : Theory and Practice. [N.p.]: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2271231

Authors

Kuziukova Iuliia Igorevna
ELIZAROVA IRINA NIKOLAEVNA
BULUSHOVA LIDIYA STANISLAVOVNA

Магистерская программа «Финансовый аналитик»

Контакты:

Derivatives

Course Syllabus