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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: 2 written assessments during class. Oral exam if you do not accept the grade based on them.

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):

Course overview - Introduction - Communicate with students the schedule and the requirements
Interest Rate Swaps - Swap Market, uses of IR swaps
- Collaterization
- Cross Ccy and Tenor basis
Structured Rates - Bermudan swaptions
- CMS products
- Yield curve trading (CMS Spread options)
Rates Pricing models - Constructing swap yield curves
- Pricing Models
- Managing interest rate risk + Risk Calculations
Flow Equity - Delta1 trading, Equity swaps
- Equity Swaps, TRS
- market segregation
Structured Notes - Methodologies
- Example SN decomposition
- Reverse convertibles
- Autocallables
- Callables
1st Assessment
CVA, DVA - CVA
- DVA
Structuring
Commodities Markets - Commod fwd
- Markets, Examples
Vanilla Credit - CDS, markets
- Examples, legal issues
Structured Credit - Index tranches
- CDO, CDO^2
2nd Assessment

Time of class: Financial Laboratory, Friday 8:00-9:30

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, 2 written assesments 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:

Last modification: 2017-01-30 11:02:46

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