Finance II 2400-PP2FI2
Individual meetings of the lecture are focused on the following matters:
Futures market and option market. Daily marking to market. Short term interest rate futures. Long-term interest rate futures. Currency futures. Stock index futures.
Swaps market. Interest rate swaps. Currency swaps. Basis swaps.
Option contracts. Option combinations. Put-call parity. Combinations/ strategies. Slope modifications. Combinations involving mixtures of long and short options – spreads. Rotation. Horizontal and diagonal spreads. Synthetic securities. Financial engineering. Synthetic options and forwards/futures. Cross rate options.
The fair pricing of option contracts. Factors influencing the premium. Sensitivity factors. Binomial model. Riskless hedge portfolio. Sharpe formula. The Black-Scholes model of the fair European call option price. Pricing a European put option. Put-call parity. Modifications to the Black-Scholes model.
Practical issues of financial management. Measuring and managing foreign exchange exposure. Portfolio analysis and asset pricing. Structuring the portfolio.
Type of course
Advanced knowledge about financial markets these specific foundations and rules. The student should be able to construct effective investment portfolio. He/she should also learn how to correctly price different securities and analyze their features.
Written exam, 3 of 4 exercises.
W. Dębski, “Rynek finansowy i jego mechanizmy”, PWN 2014
Blake, Financial Market Analysis, John Wiley and Sons, 2000
J. Czekaj, ,,Rynki, instrumenty i instytucje finansowe’’, PWN 2008
K.Jajuga, T. Jajuga, Inwestycje. Instrumenty finansowe. Aktywa niefinansowe. Ryzyko finansowe. Inżynieria finansowa. PWN 2015
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: