MPF_FIDE Financial Market Derivatives

Faculty of Economics and Administration
Spring 2017
Extent and Intensity
2/2/0. 6 credit(s). Type of Completion: zk (examination).
Teacher(s)
Ing. Boris Šturc, CSc. (lecturer)
Ing. Luděk Benada, Ph.D. (seminar tutor)
Ing. Boris Šturc, CSc. (seminar tutor)
Guaranteed by
Ing. Boris Šturc, CSc.
Department of Finance – Faculty of Economics and Administration
Contact Person: Iva Havlíčková
Supplier department: Department of Finance – Faculty of Economics and Administration
Timetable
Thu 9:20–11:00 P103
  • Timetable of Seminar Groups:
MPF_FIDE/01: Thu 11:05–12:45 P106, B. Šturc
Course Enrolment Limitations
The course is only offered to the students of the study fields the course is directly associated with.
fields of study / plans the course is directly associated with
Course objectives
Financial Market Derivatives (DEFT) The course is the understanding of the financial derivatives market. Understanding of basic financial derivatives market Risk and Derivatives as instruments the diversification of risk, forwards, futures and options, management of exchange rate risk. Credit requirements: active participation in seminars, progress test. Examination: written and oral.
Syllabus
  • Theme plan - Lectures:
  • 1. Definition of derivative financial market
  • 2. Futures contracts - forwards, basic concepts, the importance and functions, principles of valuation
  • 3. Forwards on the interest rate pricing and the use of
  • 4. Forwards in foreign currency, pricing and the use of
  • 5. Futures - and the specific method of trading on the Stock Exchange
  • 6. Futres on interest rate
  • 7. Futures on foreign currency
  • 8. Other futures - on the indices, CTD bond
  • 9. Swaps - the importance and use of
  • 10. On interest rate swaps
  • 11. Foreign exchange swaps
  • 12. Optional stores - and the importance of valuation
  • 13. Accounting and tax treatment of derivatives for the needs of commercial banks
  • 14. Derivatives trading in the advanced economies
  • Theme plan seminars:
  • 1. Introductory seminar
  • 2. Forward price, income and expenses
  • 3. Forwards on the interest rate
  • 4. Forwards in foreign currency
  • 5. Test
  • 6. Futres on interest rate
  • 7. Futures on foreign currency
  • 8. Other futures on indexes, CTD bond
  • 9. Interest rate swaps
  • 10. Foreign exchange swaps
  • 11. Option pricing
  • 12. Parity Call & Put
  • 13. Delta hedging and gamma hedging
Literature
    required literature
  • SHARPE, William F. and Gordon J. ALEXANDER. Investice. Translated by Zdeněk Šlehofr. 4. vyd. Praha: Victoria Publishing, 1994, 810 s. ISBN 80-85605-47-3. info
    recommended literature
  • BREALEY, Richard A. and Stewart C. MYERS. Teorie a praxe firemních financí. Translated by Zdeněk Strnad - Vilém Jungmann - Tomáš Hlaváč. Vyd. 1. Praha: Computer Press, 2000, xix, 1064. ISBN 8072261894. info
  • BLAKE, David. Analýza finančních trhů. Translated by Aleš Hrnčíř - Petr Šedý - Pavel Šimůnek. Vyd. 1. Praha: Grada, 1995, 623 s. ISBN 8071692018. info
  • JÍLEK, Josef. Termínové a opční obchody. 1. vyd. Praha: Grada, 1995, 286 s. ISBN 8071691836. info
    not specified
  • ŠTURC, Boris, Lenka MÍČKOVÁ and Miroslav GAJZLER. Vybrané problémy finančního trhu : deriváty finančního trhu a mezinárodní management : učební text pro studenty oboru finanční podnikání. 1. vyd. Brno: Masarykova univerzita, 1997, 101 s. ISBN 8021016523. info
Teaching methods
Lectures and seminars
Assessment methods
The teaching methods: Lectures and seminars.
Requirements for completion: it completed a written and oral exam. Precondition for the granting of the test is passing the inspection test, final test and active participation in the seminars. "Any copying, recording or leaking tests, use of unauthorized tools, aids and communication devices, or other disruptions of objectivity of exams (credit tests) will be considered non-compliance with the conditions for course completion as well as a severe violation of the study rules. Consequently, the teacher will finish the exam (credit test) by awarding grade "F" in the Information System, and the Dean will initiate disciplinary proceedings that may result in study termination."
Language of instruction
Czech
Further comments (probably available only in Czech)
Study Materials
The course is taught annually.
Credit evaluation note: k=1.
Listed among pre-requisites of other courses
The course is also listed under the following terms Spring 2010, Spring 2011, Spring 2012, Spring 2013, Spring 2014, Spring 2015, Spring 2016, Spring 2018, Spring 2019, Spring 2020, Spring 2021, Spring 2022, Spring 2023, Spring 2024, Spring 2025.
  • Enrolment Statistics (Spring 2017, recent)
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