Prof. dr hab. Zenon Marciniak

DERIVATIVES MARKET [231231-0345]

Course Overview

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, including:
- 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.

Course Objectives

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.

Course Methodology

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.

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