Master
2021/2022
Derivatives
Type:
Compulsory course (Financial Analyst)
Area of studies:
Finance and Credit
Delivered by:
HSE Banking Institute
Where:
HSE Banking Institute
When:
2 year, 2 module
Mode of studies:
offline
Open to:
students of all HSE University campuses
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 derivatives markets together with their associated instruments and their risks are considered. The course covers major types of derivative instruments such as forwards, futures, swaps and options, and introduces their features as well as mathematical apparatus required for derivatives pricing and valuation. The course provides insight into derivative instruments practical use, especially hedging and managing portfolio risks. Throughout the course risks associated with derivative instruments are introduced and illustrated with real life examples of successful and unsuccessful applications of derivatives by financial institutions and corporations.
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
- • 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.
- • 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.
- • Identifying the basic types of derivatives: forwards, futures , swaps and options.
- • Understanding of the main methodology of derivation of generic models for financial derivative instruments and necessary for their evaluation mathematical machinery.
- • Understanding the methods and principles of the mathematical theory of finance as the foundation for options pricing.
Course Contents
- Types of Derivative Instruments and Their Characteristics
- Markets and Valuation of Forwards and Futures Contracts
- Swaps Markets and Valuation of Swaps Contracts
- Options Markets and Valuation of Options Contracts
- Credit Derivatives Markets and Instruments
- Uses of Derivatives in Portfolio Management
Bibliography
Recommended Core Bibliography
- George Michael Constantinides. (2015). Financial Derivatives: Futures, Forwards, Swaps, Options, Corporate Securities, And Credit Default Swaps. World Scientific.
- Salih N. Neftci. (2000). An Introduction to the Mathematics of Financial Derivatives: Vol. 2nd ed. Academic Press.
Recommended Additional Bibliography
- Dunbar, N. (2011). The Devil’s Derivatives : The Untold Story of the Slick Traders and Hapless Regulators Who Almost Blew Up Wall Street... An. Harvard Business Review Press.
- Robert E. Whaley. (2006). Derivatives : Markets, Valuation, and Risk Management. Wiley.