OUR ACADEMIC DEPARTEMENTS |
Lesson details
OPTIONS, FUTURES AND SWAPS 2 | |||
2023-2024 | EnIESEG School of Management
(
IÉSEG
)
| ||
Class code : | 2324-IÉSEG-MFI1S2-FIN-MFICI16UE | FINANCE |
Level | Year | Period | Language of instruction |
---|---|---|---|
MSc in Finance | 1 | S2 | EnEnglish |
Academic responsibility | M.SNARSKA |
---|---|
Lecturer(s) | M.SNARSKA |
- This class exists in these courses :
- IÉSEG > MSc in Finance > Semestre 2 > 2,00 ECTS
Prerequisites
- Basic knowledge of financial markets
- Basic knowledge of probability calculus
- Familarity with mathematical notations
Learning outcomes
- Master the determination of the values of diverse derivative securities (learning objective AACSB)
- Describe the principles and mechanisms of hedging of different financial derivatives and calculate the cost of hedging processes
- Input data and calculate the value of financial derivatives (delta-one products -forwards, futures, swaps- and vanilla options -Call, Put-) using Bloomberg
- Build simple dynamic Excel templates to calculate values and sensitivities of forward contracts
- Build simple dynamic Excel templates to calculate approximative values and sensitivities of vanilla options (Call, Put) using the delta hedging method
Communicate effectively in English
Generate sustainable solutions for organizations
Compose constructive personal feedback and guidance
Demonstrate an expertise on key concepts, techniques and trends in their professional field
Course description
PART 1
1. Introduction
2. Futures and options Markets.
3. Pricing and hedging strategies
PART 2
1. Introduction to financial derivatives & pricing/valuation principles
2. Valuation of delta-one products (Swaps, forwards, futures) using Bloomberg
3. Valuation of delta-one products using the cost of Hedging method & Excel templates
4. Valuation of vanilla options (Call - Put) using Bloomberg
5. Valuation of vanilla options using the Cost of Hedging method (Delta hedging) & Excel templates
Class type
Class structure
Type of course | Numbers of hours | Comments | |
---|---|---|---|
Independent study | |||
Group Project | 7,00 | One group project to be done at the end of the course | |
Estimated personal workload | 27,00 | Personal work expected after each class to review practical application of calculation formulas & tips | |
Face to face | |||
Interactive class | 16,00 | ||
Total student workload | 50,00 |
Teaching methods
- Interactive class
- Project work
Assessment
Practical calculations of different financial derivatives values using different methods, models, techniques and tools
Type of control | Duration | Number | Percentage break-down |
---|---|---|---|
Others | |||
Group Project | 14,00 | 1 | 100,00 |
TOTAL | 100,00 |
Recommended reading
- Fundamentals of Futures and Options Markets - Hull, J.C. (7th edition. Prentice Hall, 2008). -
* This information is non-binding and can be subject to change