Február - 2019
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Subject data sheet

Derivative Markets

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Code: 2BE52NAV09M
Name: Derivative Markets
Number of hours per semester: weekly lecture (90 minutes)
Credits: 3
Fall/Spring: Spring
Language: English
Prerequisites: International students: courses covering the basics of financial markets and derivative pricing. Corvinus University students: “Investments” course, in case of over application, admittance will be based on Investments course grade ranking, preferring students closer to graduation.
Course type: elective (3 credits)
Department: Befektetések és Vállalati Pénzügy Tanszék
A Course leader: Dr. Csóka Péter

Course description: elective (3 credits).
Lecturers: Staff of Morgan Stanley

Assessment, grading: One group assignment and presentation and one written assessments during class. Oral exam if you do not accept the grade based on it.

Aims and objectives and description of the course: The course provides students with practical knowledge on the functioning of derivative products and markets from an investment banking perspective. The most important financial derivative products in each asset class will be covered, together with problems arising from pricing these products. Throughout the course, the differences between models and real markets, as well as the impact of the recent market changes on modelling and pricing will be highlighted.
Venue of the seminars will be the newly inaugurated state-of-the-art Corvinus Financial Laboratory where market data will be available on Bloomberg terminals.
http://www.uni-corvinus.hu/index.php?id=financial_laboratory


Syllabus (weekly schedule):

Interest Rate Swaps
Rates Pricing models
Commodities Markets
Risk Management tools
Case Study
Exotic Options/Structured Notes
CVA, DVA
Structuring
Assignment project
Written assessment

Time of class: See Neptun

Learning outcomes: By the end of the semester, students will be familiar with the most important derivative products and the problems related to their pricing.

Assignments: active class attendance and participation, one group assignment and presentation, one written assessment during class

Bibliography:
Compulsory readings:

  • t.b.a. papers and articles

Recommended readings:

  • • Andersen, L. - V. Piterbarg: Interest Rate Modeling. Atlantic Financial Press, 2010
  • • Rebonato, R.: Volatility and Correlation. Wiley, 2005
  • • Wilmott, P.: Paul Wilmott on Quantitative Finance. Wiley, 2006
Compulsory readings:
Recommended readings:

 
Instructors:

Dr. Csóka Péter

Last modification: 2019-01-30 09:56:59

Courses

Course codeTypeSemesterInstructors
PU_ISP_val_GGyakorlat2018/19/2Dr. Csóka Péter


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