(in Polish) Wycena instrumentów pochodnych 2600-DIz2WIP
As part of the classes, issues in the field of valuation of derivative instruments will be covered:
• Analysis and valuation of derivatives and alternative instruments (Hedging operations; Speculative operations; Arbitrage operations; Short selling);
• Futures contracts (Principles and methods of futures contract valuation; Factors determining contract prices; Contract valuation; Interest rate, treasury bill, and bond futures; Stock and stock index futures; Currency futures; Futures contracts vs. forward contracts; Issues in pricing futures contracts);
• Options (Principles and models of option pricing; Binomial model; Black-Scholes model);
• Option valuation (Interest rate, treasury bill, and bond options; Stock and stock index options; Currency options; Factors determining option prices and their measurement; Option price sensitivity to underlying asset price changes: Delta, Gamma; Option price sensitivity to time decay: Theta; Option price sensitivity to volatility of the underlying asset: Vega / Lambda; Option price sensitivity to changes in expected return rates of the primary instrument: Rho; Sensitivity of option price to other factors; Issues in option pricing);
• Complex derivative instruments and their valuation.
Course coordinators
Type of course
Mode
Learning outcomes
Upon completing the course, the student:
In terms of knowledge:
• has an in-depth knowledge of research methodology and terminology regarding the valuation of derivative instruments (K_W01),
• has an in-depth knowledge of principles, procedures, and practices regarding the analysis and valuation of derivative instruments (K_W02),
• knows economic theories and models concerning the valuation and analysis of derivative instruments (K_W03),
• understands technological, social, economic, and ecological processes and phenomena, including their impact on financial decisions regarding options and futures contracts (K_W05).
In terms of skills:
• can use derivative theory to identify, diagnose, and solve problems related to financial decisions in investment advisory and capital markets (K_U01),
• can correctly interpret complex processes of derivative analysis and valuation (K_U02),
• can prepare analyses, valuations, and reports concerning complex and unusual problems related to the valuation of options, futures contracts, and other derivative instruments (K_U06),
• can plan, organize, and manage teamwork, as well as collaborate in teams and take a leading role in team activities (K_U08).
In terms of social competences:
• carries out evaluations and applies a critical approach to complex situations and phenomena related to the valuation of derivative instruments (K_K01),
• thinks and acts in an entrepreneurial manner on a national and global scale (K_K04),
• adheres to, enforces, and develops professional ethical standards, as well as contributes to the achievements of the investment advisor profession (K_K05).
Assessment criteria
Written test (test, open-ended questions, problem sets/exercises), active participation, additional written assignments, attendance check, term paper. Learning outcomes will be verified on an ongoing basis through tasks performed by participants during classes and at the end during the course assessment.
Written test – on-site (open questions, tasks, tables, and closed/multiple-choice questions).
Project(s)
A total of 100% points can be obtained.
Grading scale:
0-50% – grade 2 (unsatisfactory)
51%-60% – grade 3 (satisfactory)
61%-70% – grade 3.5 (satisfactory plus)
71%-80% – grade 4 (good)
81%-90% – grade 4.5 (good plus)
91%-100% – grade 5 (very good)
A maximum of one absence per semester is allowed.
The use of artificial intelligence tools to create components for course assessment is prohibited.
Practical placement
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Bibliography
Witzany, J. (2021). Derivatives: Theory and Practice of Trading, Valuation, and Risk Management. Springer International Publishing.
Whaley, R. E. (2006). Derivatives: Markets, valuation, and risk management. John Wiley & Sons.
Weron, A., & Weron, R. (2018). Inżynieria finansowa: Wycena instrumentów pochodnych, symulacje komputerowe, statystyka rynku. Wydawnictwo Naukowe PWN.
Notes
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Term 2026Z:
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