Prof. dr hab. Zenon Marciniak


Zero Exam Results 12 December 2018: Zero12122018.pdf

Course Overview, Objectives, Methodology
Course Materials
Grading Schedule & Exam

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
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

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