MPF_STPA Financial Derivatives

Faculty of Economics and Administration
Spring 2023
Extent and Intensity
2/2/0. 6 credit(s). Type of Completion: zk (examination).
Teacher(s)
prof. Ing. Štefan Lyócsa, PhD. (lecturer)
doc. Ing. Tomáš Plíhal, Ph.D. (seminar tutor)
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
Thu 14:00–15:50 P102, except Thu 30. 3.
  • Timetable of Seminar Groups:
MPF_STPA/01: Thu 10:00–11:50 VT105, except Thu 30. 3., T. Plíhal
Prerequisites (in Czech)
! MPF_STPR Structured products && !NOWANY( MPF_STPR Structured products )
Course Enrolment Limitations
The course is only offered to the students of the study fields the course is directly associated with.

The capacity limit for the course is 35 student(s).
Current registration and enrolment status: enrolled: 9/35, only registered: 0/35
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.
Syllabus
  • Schedule:
  • 1. Introduction to financial derivatives
  • 2. Forwards and futures
  • 3. Determination of forward and futures prices
  • 4. Swaps
  • 5. Options
  • 6. Options trading strategies and hedging
  • 7. Option pricing - Binomial trees
  • 8. Option pricing - Black-Scholes model
  • 9. The Greeks and volatility
  • 10. Options on stock indices, currencies, and futures
  • 11. Structured products 1
  • 12. Structured products 2
Literature
    required literature
  • HULL, John. Options, futures & other derivatives. 5th ed. Upper Saddle River: Prentice Hall, 2003, xxi, 744. ISBN 0130090565. 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
lectures and seminars
Assessment methods
Requirements for completion: A total of 100 points can be earned. 60 points for the written exam and 40 points for the mid-term tests at the seminars. If the number of points from the mid-term tests is low, the student has the option of one comprehensive correction test. 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
English
Further comments (probably available only in Czech)
Study Materials
The course is taught annually.
General note: Předmět je přednášen v angličtině a je ekvivalentní s předmětem Strukturované produkty. Studenti si zapisují jen jeden z těchto předmětů.
Listed among pre-requisites of other courses
The course is also listed under the following terms Autumn 2010, Autumn 2011, Autumn 2012, Autumn 2013, Autumn 2014, Autumn 2015, Autumn 2016, Autumn 2017, Autumn 2018, Autumn 2019, Autumn 2020, Autumn 2021, Spring 2024, Spring 2025.
  • Enrolment Statistics (Spring 2023, recent)
  • Permalink: https://is.muni.cz/course/econ/spring2023/MPF_STPA