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Regular version of the site
Master 2019/2020

Derivatives

Category 'Best Course for Broadening Horizons and Diversity of Knowledge and Skills'
Type: Compulsory course (Financial Analyst)
Area of studies: Finance and Credit
Delivered by: HSE Banking Institute
When: 2 year, 2 module
Mode of studies: offline
Instructors: Oleg Shenker
Master’s programme: Financial Analyst
Language: English
ECTS credits: 3
Contact hours: 36

Course Syllabus

Abstract

The course is intended for the second year students enrolled in the Master's program "Financial Analyst" and is designed as one academic unit. Throughout this course equity, commodity, foreign exchange and interest rate markets, together with their associated forwards, futures, swaps and options will be considered. Giving the students skills for independent and deeper immersion into the subject and development of advanced methods for the management of financial derivatives, their usage for the evaluation of structured transactions and for hedging risks in the interests of trading and treasury operations is also one of the goals of this class.
Learning Objectives

Learning Objectives

  • The objective of this course is to familiarize the students with the modern methods of analysis and evaluation of standard financial derivatives and with the construction of strategies. The course also pursues the goal of familiarization of students with the limits of applicability of the conventional models and the gaps in their respective derivations along with the presentation of ways of filling these gaps. The course is designed to combine the theory of financial derivative instruments and the practical functional aspects of the of derivatives markets.
Expected Learning Outcomes

Expected Learning Outcomes

  • • Identifying the basic types of derivatives: forwards, futures , swaps and options. • Identifying main factors affecting the price of the considered instruments and basic techniques leading to no-arbitrage pricing of derivatives with the basic relationships between adjacent instruments. • Understanding the methods and principles of the mathematical theory of finance as the foundation for options pricing.
  • • Ability to work with the Black-Scholes option pricing model: applicability for the definition of the price and risks of options, as well as its resulted from the underlying assumptions inability to accurately describe the real-world market processes without some amendments. • Understanding of the main methodology of derivation of generic models for financial derivative instruments and necessary for their evaluation mathematical machinery.
Course Contents

Course Contents

  • 1. Introduction to Derivatives
  • 2. Futures Markets
  • 3. Hedging strategies
  • 4 Interest rates
  • 5. Futures. Forwards
  • 6. Interest rate Futures
  • 7. Swaps
  • 8. Credit Risk
  • 9. Introduction to Options Markets
  • 10. Stock Options
  • 11. Trading strategies with Options
  • 12. Binominal Trees
  • 13. Wiener Processes
  • 14. Black Scholes Merton Model
  • 15. Options on currencies
  • 16. The Greeks
Assessment Elements

Assessment Elements

  • non-blocking active class participation
  • non-blocking mid-term test
  • non-blocking final exam
Interim Assessment

Interim Assessment

  • Interim assessment (2 module)
    0.2 * active class participation + 0.6 * final exam + 0.2 * mid-term test
Bibliography

Bibliography

Recommended Core Bibliography

  • Derivatives : markets, valuation, and risk management, Whaley, R. E., 2006
  • Keith Cuthbertson, Dirk Nitzsche, & Niall O’Sullivan. (2019). Derivatives : Theory and Practice. [N.p.]: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2271231

Recommended Additional Bibliography

  • NEDELJKOVIC, M., & SABOROWSKI, C. (2019). The Relative Effectiveness of Spot and Derivatives‐Based Intervention. Journal of Money, Credit & Banking (John Wiley & Sons, Inc.), 51(6), 1455–1490. https://doi.org/10.1111/jmcb.12594
  • Weiss, D. M. (2014). Derivatives : A Guide to Alternative Investments. New York, New York: Portfolio. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1126741