Derivatives Markets 2400-QFU1DVM
The lecture starts with overview of main classes of tradable assets, such as stocks, indices,
bonds, commodities (with subsectors), currency pairs and some alternative assets. These
assets serve as underlying for derivative instruments. Leading stock and/or derivative
exchanges will be introduced and described: NYSE, Euronext/Liffe, NYMEX, COMEX,
CBOE, NYBOT, ICE and most liquid local exchanges. Highlighting their brief history and
developments, consolidation processes. Detailed description of various types of derivatives:
plain futures/forwards; vanilla options; swaps, exotic options. Vital practical issues will be
tackled: pricing, real trade, commercial usage for risk management, arbitrage or speculation.
In case of options practical aspects of Greek analysis will be presented. Discussing the
volatility, nonlinearities and term structures. The contents of the lecture will be successively
enriched with case studies and rooted in current market development context (monetary
politics, boom-bust cycles, dominant role of speculation, etc.). Students will learn the
empirics of derivatives markets, studying specific behaviors of respective underlying
segments (e.g. agricultural commodities, emerging markets currencies.
The course in general is intended to cast a multicolor light on derivatives world but with no in-depth analysis of formal regulations and juridical solutions.
Type of course
Students will acquire profound knowledge about derivative instruments, including: specifics of futures, various classes of options, swaps and alternative derivatives. The course's main aim is to popularize the specifics of derivatives with their broad practical usage possibilities (hedging, diversification, speculation). Theoretical aspects as pricing are to be confronted with real market trade. On finishing the course students possess versatile knowledge encompassing theoretical and practical aspects of derivatives markets. They also gain up-to-date multi-aspect familiarity coupled with current macroeconomic background. Classes
perform a complementary role of enhancing practical aspects.
KW01, KW02, KU01, KU02
Final assessment will consist from three parts:
1. written assessment project - the description of scientific paper focusing on verification of models and theories presented during the lectures or focusing on press article covering current economic situation,
2. mid-term exam,
3. final exam.
The student has to pass the mid-term exam and give back the project in order to be admitted to final exam.
Classes are intended as complimentary to lectures.
Hull J. C, Options, Futures and Other Derivatives; Prentice Hall 2005 or later
1. Whaley R. E., Derivatives: Markets, Pricing and Risk Management; John Wiley & Sons
2. McDonald R.L., Derivatives Markets; Addison Wesley, 2006
3.Wilmott P., Paul Wilmott On Quantitative Finance, 2nd Edition, John Wiley & Sons, Chichester 2006.
4. Wilmott P., The Best Of Wilmott 1 and 2 , John Wiley & Sons, 2004, 2006.
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: