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.
Szacunkowy nakład pracy studenta:
Type of activity K (contact) S (independent)
lecture (classes) 30 0
practical classes 30 0
exam 3 0
consultations with lecturer 12 0
preparing for practical classes 0 20
preparing for lectures 0 15
preparing for test 0 20
preparing for exam 0 20
… 0 0
Total 75 75 = 150