Finance II (ACCA) 2400-PP2FI2ACCA
Lectures Finance I (ACCA), Finance II (ACCA) and a seminar Corporate finance (ACCA) give the students a chance to obtain an exemption from one of the ACCA (the Association of Chartered Certified Accountants) qualification exams - the 'Financial Management' module. The ACCA exam is nor more difficult nor easier than its WNE standard exam. It may be different, but it tests the same knowledge as the Faculty standard exam. However, because - according to accreditation arrangements - it must be properly documented, it has its own time rigour and other formal requirements (see exam format).
Consecutive lectures focus on the following matters:
1. Causes of interest rate fluctuations, term structure of interest rates, yield curve, theories describing the yield curve shape, spot vs. forward rates
2. Futures and forward contracts: forward-forward, FRA, settlement of the contracts. Marking to market. Investment strategies: speculation, hedging and arbitrage.
3. Swaps: Types of contracts. Valuation.
4. Options: Types of options. ATM, OTM, ITM options. Factors influencing options’ price. Binomial model. Black-Scholes model. Investment strategies: speculation, hedging and arbitrage.
5. Portfolio analysis: correlation of returns, portfolio return and risk, risk free assets, Sharpe model, CAPM model, Arbitrage Pricing Theory.
Type of course
Prerequisites (description)
Course coordinators
Learning outcomes
After completing the course the student knows how the advanced financial instruments are constructed. He or she knows the basic topics related to portfolio analysis, capital market models and knows how forward, futures contracts, swaps and options work.
The student understands how rate of return and risk relate to each other and is able to construct portfolios with certain characteristics. He or she is capable of performing valuation of forward agreements and construct investment strategies using forward market.
The student correctly identifies and resolves dilemmas related to using forward contracts in investment strategies. He or she is able to broaden the acquired knowledge and skills so as to expand them to the extent required for professional work. With a broad look at a variety of financial problems, the student can think and act in an entrepreneurial way.
Assessment criteria
To complete the course, the student has to pass a written exam once he or she has already passed the laboratory part of the course (i.e. acquired at least a grade 3 [sufficient grade]).
The exam is divided into three sections: Section A consisting of 10 multiple choice theoretical questions (each question is worth 1 point), section B consisting of 10 multiple choice questions with short calculations (each question is worth 2 points) and Section C consisting of 2 open questions (each question is worth 10 points).
The passing threshold is 50%. Students may get a bonus that is taken into account when calculating the exam result if the grade acquired during the lab part of the course is higher than 3 [sufficient grade]:
grade 3.5 => a bonus of 1 point
grade 4 => a bonus of 2 points
grade 4.5 => a bonus of 3 points
grade 5 => a bonus of 4 points
grade 5.5 => a bonus of 5 points
This means that the final grade of each student is calculated according to the following table:
lab course grade: final grade
5,5 5 4,5 4 3,5 3 2
points acquired during the exam:
>=45 >=46 >=47 >=48 >=49 50 x 5,5
40-44 41-45 42-46 43-47 44-48 45-49 x 5
35-39 36-40 37-41 38-42 39-43 40-44 x 4,5
30-34 31-35 32-36 33-37 34-38 35-39 x 4
25-29 26-30 27-31 28-32 29-33 30-34 x 3,5
20-24 21-25 22-26 23-27 24-28 25-29 x 3
<20 <21 <22 <23 <24 <25 x 2
During the exam students have access to financial tables and can only use a simple calculator (not a mobile phone nor a financial calculator).
Bibliography
Mandatory literature:
Hull J.C., Options, Futures, and Other Financial Instruments, Prentice-Hall
Jajuga K., Inwestycje finansowe, Wydawnictwo AE we Wrocławiu
Supplementary literature:
Echaust K., Bartkowiak M., Instrumenty pochodne. Wprowadzenie do inżynierii finansowej, UE w Poznaniu
Elton/Gruber, Nowoczesna analiza portfelowa i analiza papierów wartościowych, WIG Press
Francis, Inwestycje, WIG Press
Steiner R., Kalkulacje finansowe, Dom Wydawniczy ABC
Tarczyński W., Rynki kapitałowe - metody ilościowe, Vol. I i II, Agencja Wydawnicza Placet
Truszkowski J., Perez K., Portfel inwestycyjny, UE w Poznaniu
Weron A., Weron R., Inżynieria finansowa, Wydawnictwa Naukowo-Techniczne
Węgrzyn R., Kontrakty terminowe i opcje. Arbitraż, wycena, spekulacja, hedging, UE w Krakowie
Additional information
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: