Prof. dr hab. Zenon Marciniak
DERIVATIVES MARKET [231231-0345]
Zero Exam Results 12 December 2018: Zero12122018.pdf| No | Lecture | Teaching Notes | Links |
| 1 | Applications of Financial Derivatives. Marking to Market | DE1.pdf | BIS statistics |
| 2 | Forward. Stock Index Futures. Foreign Exchange Futures. Interest Rate Futures | DE2.pdf | Eurodollar futures |
| 3 | Pricing Forward and Futures Contracts. Cash and carry. Implied repo rate Pricing T-Bond Futures. Basis. Spread. Strip. Stack |
DE3.pdf | |
| 4 | Hedging and Speculation with Forward and Futures | DE4.pdf | |
| 5 | Call and Put Options. Intrinsic Value. Time Value. Put-call Parity | DE5.pdf | |
| 6 | Option Pricing. Binomial Model. Black-Scholes Model. Merton Model. Implied Volatility. Greeks | DE6.pdf | Global Derivatives |
| 7 | Option Strategies. Probability Distributions. Performance | DE7.pdf | |
| 8 | Risk Management with Options. Hedge Ratios | DE8.pdf | |
| 9 | Interest Rate and Currency Swaps. IRS. FRA. FX. Forward swap. IAR. Off-market swap. Basis. CMS. Corridor. Diff. MTM | DE9.pdf | ISDA |
| 10 | Cap. Floor. Collar. Swaption | DE10.pdf | |
| 11 | Pricing of Swaps. Fixed Interest Rate. Up-front fee. Marked-to-market Value | DE11.pdf | |
| 12 | Duration Gap and Currency Gap. Structured Finance. Cost of capital stabilization. Assymetric Information | DE12.pdf | |
| 13 | Credit Derivatives | DE13.pdf | DefaultRisk |