Finance II (ACCA) 2400-PP2FI2ACCA
Finance II (ACCA) is a course designed for all students and is equivalent to the Finance II course. The only difference is that Finance I (ACCA), together with the Finance II (ACCA) course and the Corporate Finance (ACCA) Conversation, gives students on programmes accredited by ACCA (the Association of Chartered Certified Accountants) the opportunity to obtain an exemption from one of the ACCA qualification examinations - the Financial Management module.
The lecture meetings are designed to discuss the following:
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.
Classes in Finance II (ACCA) help students develop applications of the theory learnt in lecture to the analysis of sample events and problems. The classes develop students' diagnostic, qualitative as well as quantitative analysis skills and teach the application of theory in practice, also using selected computer packages. Classes are conducted in a computer laboratory using primarily a computer algebra package (Maxima) and ancillary other software (e.g. spreadsheet). Some of the problems solved require students to find financial data on their own in the resources of the Internet.
Type of course
Prerequisites (description)
Course coordinators
Learning outcomes
KNOWLEDGE:
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.
SKILLS:
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.
COMPETENCES:
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
The basis for passing the course is receiving a positive grade from an exam, provided that the student has previously passed the exercises.
Conditions of passing exercises are determined by the lecturers.
The examination consists of three parts: part A is a single-choice test consisting of 10 theoretical questions (each correct answer gives 1 point), part B is a single-choice test consisting of 10 short calculation tasks (each correct answer gives 2 points), while part C consists of two open questions (each for 10 points).
The pass threshold for the examination is set at 50% (25 points) and the number of points required to achieve each grade is as follows:
Right answers exam result
from to
50 x 5,5
45 49 5
40 44 4,5
35 39 4
30 34 3,5
25 29 3
0 24 2
The final grade for the course is a weighted average of the exercise grade and the exam grade, with the exam weighted at 75%:
lab result exam result
5,5 5 4,5 4 3,5 3 2
5,5 5,5 5 5 4,5 4 3,5 2
5 5,5 5 4,5 4,5 4 3,5 2
4,5 5,5 5 4,5 4 4 3,5 2
4 5 5 4,5 4 3,5 3,5 2
3,5 5 4,5 4,5 4 3,5 3 2
3 5 4,5 4 4 3,5 3 2
2 2 2 2 2 2 2 2
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: