Finance II 2400-FiR2FI2
The lecture covers the following subjects:
1. Forward and futures contracts (4 hrs),
Contract pricing. Spot prices and investor’s income. Marking to market. Financial contracts on currencies, indexes, and shares.
2. Portfolio analysis and asset pricing (10 hrs),
Rates of return correlation. Asset portfolio. Risk free portfolio. Short selling. Sharpe model. CAPM. APT.
3. Swap contracts (4 hrs),
Swaps and investment strategies.
4. Option contracts (12 hrs).
Option markets, price determinants of options, investment strategies, option pricing models: binomial model, Black Scholes model. Index options, currency options, futures options, interest rate options. Option margins positions. Synthetic options.
Type of course
Participants should know how to price and use derivatives (futures, swaps, options, options) and know how to use them for investment strategies. Students should identify the impact of economic factors on derivatives prices. They should also construct asset portfolios using different models of portfolio analysis.
- D. Blake, Financial market analysis, John Wiley & Sons, 2000
- J. Czekaj, Rynki, instrumenty i instytucje finansowe, PWN, Warszawa, 2008
- K. Jajuga, T. Jajuga, Inwestycje, PWN, Warszawa, 1998
- W. Dębski, Rynek finansowy i jego mechanizmy, PWN, Warszawa, 2002
- publications of NBP www.nbp.pl
- publications of ECB www.ecb.int
- publications of FED www.federalreserve.com
Information on level of this course, year of study and semester when the course unit is delivered, types and amount of class hours - can be found in course structure diagrams of apropriate study programmes. This course is related to the following study programmes:
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: