Prof. dr hab. Zenon Marciniak
DERIVATIVES MARKET [231231-0345]
This course is intended to provide students with a working knowledge of the principles and practices
of derivatives. The course will survey the major topics concerned with derivetives,
- Forward and Futures: Characteristics. Valuation. Hedge Ratios.
- Options: Characteristics. Pricing. Binomial Model. BSM Model. Probability Distributions. Strategies. Hedge Ratios.
- Swaps: Overview. Pricing and Valuation (MTM). Interest rate and currency gap management.
Main objectives for this course:
- To provide students with a good understanding with derivatives (forward, futures, options and swaps).
- To provide students with a proper methodology of pricing and valuation.
- To provide students with techniques and methodologies that are commonly used in risk management.
These objectives are to be achieved through a participative approach to learning.
This course is intended to provide you with a deep framework for dealing with the derivatives.
Handling the financial aspects of a business requires both an understanding of concepts
and the skills to do analysis. Skills are best developed by doing;
therefore the pedagogical approach used is application-oriented.
Therefore, the emphasis is on understanding the financial issues and alternatives available,
and learning the essential analytical tools for dealing with them.
The discussion will generally contain the following:
- A brief description of the management problem(s) being faced, and the decision(s) to be made.
- An analysis of the advantages and disadvantages of each alternative.
Decision(s) or recommendation(s) with supporting reasons.
This is a very busy course, consisting of lectures (30 hours), and one examination.