Παρουσίαση/Προβολή

(LOXR503) -  ΓΕΩΡΓΙΟΣ ΧΑΛΑΜΑΝΔΑΡΗΣ

Περιγραφή Μαθήματος

Course Description

Derivatives are not a new concept. Commodity futures contracts can be traced back to the second millennium BC in Mesopotamia, while Thales of Milito was known to buy options contracts at around 650 BC. In their modern form, these financial instruments were introduced in the mid-19^th century but were not widely used until the 1970s and the development of arbitrage pricing which led to their explosive development. Since the early ‘90s, derivative markets dwarf all other financial markets in size, growth, and novelty. Nowadays, modern finance is impossible to imagine without derivatives. This is a comprehensive course on the theory and practice of derivatives securities.  The course describes conceptual paradigms and their extensive applications in practice.

 

Content

We will be covering the following topics:

• Buying and selling put and call options
• Understanding futures and forward contracts
• Speculating with derivatives
• Risk management: hedging with derivatives
• Analyzing structures such as equity-linked CD
• Employee stock options
• Pricing Options with the Binomial Tree
• Understanding the B&S formula
• Pricing exotic options
• Option Greeks
• Constructing complex strategies with options
• Shortfall probability and insuring against shortfall
• Applying derivatives concepts to corporate decisions
• Interest rate futures such as FRAs and Eurodollars
• Hedging with swaps contracts

 

Lab Work

We will spend 2 sessions in the lab to familiarize students with the financial derivatives libraries/toolboxes of Matlab and Python that constitute the golden standard for practitioners in the financial industry.

 

Textbook:

The textbook for this course is Derivatives Markets by Robert L. McDonald, Second Edition. ISBN 978-0-3- 2128030-5

 

Assessment

• Case Studies (30%)
• Exam (70%) - The final exam will be based on the material and examples covered in class, assignments, and assigned reading. The exam is closed books and closed notes. However, you will be allowed to bring in one piece of paper with handwritten notes (double-sided, A4 size). You are not allowed to use any other notes. Non-programmable calculators are allowed during the exam.

Ημερομηνία δημιουργίας

Πέμπτη, 19 Μαΐου 2022