|Kod Erasmus / ISCED:||
|Nazwa przedmiotu:||Derivatives Markets|
|Jednostka:||Wydział Nauk Ekonomicznych|
Przedmioty obowiązkowe dla I roku Quantitative Finance
|Punkty ECTS i inne:||
The course aims at profound understanding the specifics of derivative markets.
Vast scope of real derivative instruments traded on world exchanges will be described: starting with plain futures/forwards, through swaps, vanilla options, exotic instruments, ending with advanced financial derivatives like CDS. Both theoretical (pricing) and practical (trading, risk management) aspects are going to be addressed with reference to various asset classes: stocks, commodities, currencies. Derivatives markets will be analyzed also in the context of recent macroeconomic developments and growing role of speculation in pricing the assets. The lecture will be conducted mainly via multimedia slideshows. Upon starting the course students are expected to have micro- and macroeconomic background as well as intermediate skills in mathematics and probability/statistics.
Final exam test is scheduled to complete the course, and one minor written work in the mid-semester.
The lecture starts with overview of main classes of tradable assets, such as stocks, indices,
bonds, commodities (with subsectors), currency pairs and some alternative assets. These
assets serve as underlying for derivative instruments. Leading stock and/or derivative
exchanges will be introduced and described: NYSE, Euronext/Liffe, NYMEX, COMEX,
CBOE, NYBOT, ICE and most liquid local exchanges. Highlighting their brief history and
developments, consolidation processes. Detailed description of various types of derivatives:
plain futures/forwards; vanilla options; swaps, exotic options. Vital practical issues will be
tackled: pricing, real trade, commercial usage for risk management, arbitrage or speculation.
In case of options practical aspects of Greek analysis will be presented. Discussing the
volatility, nonlinearities and term structures. The contents of the lecture will be successively
enriched with case studies and rooted in current market development context (monetary
politics, boom-bust cycles, dominant role of speculation, etc.). Students will learn the
empirics of derivatives markets, studying specific behaviors of respective underlying
segments (e.g. agricultural commodities, emerging markets currencies.
The course in general is intended to cast a multicolor light on derivatives world but with no in-depth analysis of formal regulations and juridical solutions.
Hull J. C, Options, Futures and Other Derivatives; Prentice Hall 2005 or later
1. Whaley R. E., Derivatives: Markets, Pricing and Risk Management; John Wiley & Sons
2. McDonald R.L., Derivatives Markets; Addison Wesley, 2006
3.Wilmott P., Paul Wilmott On Quantitative Finance, 2nd Edition, John Wiley & Sons, Chichester 2006.
4. Wilmott P., The Best Of Wilmott 1 and 2 , John Wiley & Sons, 2004, 2006.
|Efekty uczenia się:||
Students will acquire profound knowledge about derivative instruments, including: specifics of futures, various classes of options, swaps and alternative derivatives. The course's main aim is to popularize the specifics of derivatives with their broad practical usage possibilities (hedging, diversification, speculation). Theoretical aspects as pricing are to be confronted with real market trade. On finishing the course students possess versatile knowledge encompassing theoretical and practical aspects of derivatives markets. They also gain up-to-date multi-aspect familiarity coupled with current macroeconomic background. Classes
perform a complementary role of enhancing practical aspects.
KW01, KW02, KU01, KU02
|Metody i kryteria oceniania:||
Final assessment will consist from three parts:
1. written assessment project - the description of scientific paper focusing on verification of models and theories presented during the lectures or focusing on press article covering current economic situation,
2. mid-term exam,
3. final exam.
The student has to pass the mid-term exam and give back the project in order to be admitted to final exam.
Classes are intended as complimentary to lectures.
Zajęcia w cyklu "Semestr letni 2022/23" (w trakcie)
|Okres:||2023-02-20 - 2023-06-18||
zobacz plan zajęć
Ćwiczenia, 15 godzin
Wykład, 30 godzin
|Prowadzący grup:||Krzysztof Spirzewski|
|Lista studentów:||(nie masz dostępu)|
Ćwiczenia - Zaliczenie na ocenę
Wykład - Egzamin
Właścicielem praw autorskich jest Uniwersytet Warszawski, Wydział Nauk Ekonomicznych.