MKF_FIDE Derivatives of Financial Markets

Faculty of Economics and Administration
Spring 2022
Extent and Intensity
26/0/0. 6 credit(s). Type of Completion: zk (examination).
Teacher(s)
prof. Ing. Štefan Lyócsa, PhD. (lecturer)
doc. Ing. Tomáš Plíhal, Ph.D. (lecturer)
Guaranteed by
prof. Ing. Štefan Lyócsa, PhD.
Department of Finance – Faculty of Economics and Administration
Contact Person: Iva Havlíčková
Supplier department: Department of Finance – Faculty of Economics and Administration
Timetable
Sat 19. 2. 12:00–15:50 P102, Sat 19. 3. 12:00–15:50 P102, Fri 29. 4. 16:00–19:50 P102
Prerequisites
Completion course Mathematics, Statistics, Financial Markets
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
The course Financial Derivatives deals primarily with fixed and conditional term derivative instruments such as forwards, futures, swaps and options. It explains the ways in which derivatives are used in the financial markets, especially in managing interest and currency risk, enables to understand the nature of financial derivatives, their valuation and the specifics of exchange trading of futures and options.
Learning outcomes
At the end of this course the student will be able: define financial derivatives and understand their specific characteristics; understand and explain differences between fixed future contracts and options; evaluate financial derivatives and suggest their use in praxis
Syllabus
  • Schedule:
  • 1. Introduction and mechanics of futures markets
  • 2. Hedging strategies using futures
  • 3. Interest rates
  • 4. Determination of forward and futures prices
  • 5. Interest rate futures
  • 6. Swaps
  • 7. Mechanics of option markets and properties of options
  • 8. Trading strategies involving options and binomial trees
  • 9. The Black-Scholes-Merton model
  • 10. Options on stock indices, currencies, and futures
  • 11. The Greeks
  • 12. Additional topics from financial derivatives
Literature
    required literature
  • HULL, John. Options, futures, and other derivatives. Global edition. Harlow: Pearson, 2018, 891 stran. ISBN 9781292212890. info
    recommended literature
  • PIRIE, Wendy L. Derivatives. Hoboken: Wiley, 2017, xix, 597. ISBN 9781119381815. info
  • BLÜMKE, Andreas. How to invest in structured products : a guide for investors and investment advisors. Chichester: Wiley, 2009, xvi, 374. ISBN 9780470746790. info
  • BODIE, Zvi, Alex KANE and Alan J. MARCUS. Investments. 10th global ed. Maidenhead: McGraw-Hill Education, 2014, xxviii, 10. ISBN 9780077161149. info
Teaching methods
Tutorial, self-study, solution of examples
Assessment methods
Conditions of admission to the examination: One written test, the total score of 21 points out of 40.

Requirements for completion: the course is completed by a written exam, max 60 points. The final grade is calculated by summing the points from the exam and from tutorials. Maximum total points is 100. The final grade is based on the following scale:
A 100 – 91, B 90 – 81, C 80 – 71, D 70 – 61, E 60 – 51, F 50 - 0

"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.
Information on the extent and intensity of the course: tutorial 12 hodin.
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 2017, Spring 2018, Spring 2019, Spring 2020, Spring 2021, Spring 2023, Spring 2024.
  • Enrolment Statistics (Spring 2022, recent)
  • Permalink: https://is.muni.cz/course/econ/spring2022/MKF_FIDE