Szeptember - 2017
H K S C P S V
  01 02 03
04 05 06 07 08 09 10
11 12 13 14 15 16 17
18 20 21 22 23 24
25 26 27 28 29 30  

Subject data sheet

Financial Derivatives

Download data sheet: Download

Code: 293NFINV654M
Name: Financial Derivatives
Number of hours per semester: 43,5 2+2
Credits: 3
Fall/Spring: Spring
Language: English
Prerequisites: Basic knowledge of corporate finance.
Course type: elective
Department: Befektetések és Vállalati Pénzügy Tanszék
A Course leader: Dömötör Barbara Mária

Course description: The course indtroduces the international financial markets, the traded financial assets with focus on the derivatives. Financial derivatives and their pricing is explained both from theoritical and practical point of view.

Assessment, grading: Homeworks 20 points
Case Study 10 points
Classroom activity 10 points
Midterm exam 30 points
Final exam 30 points

Aims and objectives and description of the course: The aim of the course is:
– to summarize the basics of financial calculations
– to introduce the most important financial derivatives
– to give an overview of how international financial markets work,
– to analyze the kinds of investment and financing decisions,
– to introduce some of the general and special exposure and risk multinational corporations must face,
– to discuss how to price derivative financial products, how to handle currency risk and other types of risk with derivative financial products,
– to introduce financial modelling,
– to acquire the most important skills in Microsoft Excel in order to use and price financial derivatives and fixed income securities.

Time of class: Mondays 9:40-11:00 and 11:20-12:40


8 Feb Introduction, arbitrage, bond pricing, duration
15 Feb Yield curves
22 Feb Forward and futures contracts (arbitrage, speculation, hedge)
1 Mar Swaps
8 Mar Options; Properties of stock options
15 Mar Exercises
22 Mar Midterm exam
29 Mar Solving the exercises; Binominal option pricing
5 Apr Option trading strategies
12 Apr Statistics of real prices; Black-Scholes model
19 Apr Greeks; Options on indices, currencies, and futures
26 Apr Presentation of case studies
3 Apr Exercises
10 May Final Exam

Learning outcomes: 

Assignments: 

Bibliography:
Compulsory readings:

  • J. C. Hull: Options, Futures, and Other Derivatives (Pearson - Prentice Hall)
  • (7th Ed. recommended)
  • Handouts, Excel files

Recommended readings:

  • J. Madura: Financial Markets and Institutions (South-Western College Publ.,)
  • Brealey-Myers: Principles of Corporate Finance (McGraw-Hill)
  • N. Dunbar: Inventing Money (Wiley)
Compulsory readings:
J. Madura: Financial Markets and Institutions (South-Western College Publ.,)
Brealey-Myers: Principles of Corporate Finance (McGraw-Hill)
N. Dunbar: Inventing Money (Wiley)
Recommended readings:
J. C. Hull: Options, Futures, and Other Derivatives (Pearson - Prentice Hall)
(7th Ed. recommended)
Handouts, Excel files

 
Instructors:

Last modification:

Courses

Course codeTypeSemesterInstructors


A "Tantárgyfelelős tanszék", a tantárgyfelelős neve a tantárgy oktatói és a kurzusinformációk automatikusan frissülnek a tanulmányi rendszerünk alapján.