Derivatives (D)

Área

AC Gestão > UC Mestrados

Activa nos planos curriculares

Economia Monetária e Financeira > Economia Monetária e Financeira > 2º Ciclo > Unidades Curriculares Optativas > Optativas Condicionadas 3 e 4 > Derivatives

Finanças > Finanças > 2º Ciclo > Unidades Curriculares Obrigatórias > Derivatives

Finance > Finance > 2º Ciclo > Unidades Curriculares Obrigatórias > Derivatives

Nível

2º Ciclo (M)

Tipo

Estruturante

Regime

Semestral

Carga Horária

Aula Teórica (T): 0.0 h/semana

Aula TeoricoPrática (TP): 3.0 h/semana

Trabalho Autónomo: 121.0 h/semestre

Créditos ECTS: 6.0

Objectivos

This curricular unit introduces and characterizes Derivatives markets and products.
In the first part, this unit aims to study in detail forwards and futures, evaluate them and identify the main strategies for hedging and investment purposes. This unit also introduces swaps and their valuation. In the second part options are presented along with their use and valuation according to different methodologies.

Programa

1.Introduction to Derivatives
2.The Mechanics of Futures Markets
3.Hedging Strategies Using Futures
4.Determination of Forward and Futures Prices
5.Currency and Equity Swaps
6.Mechanics of Options Markets~
7.Properties of Stock Options
8.Trading Strategies Involving Options
9.Binomial Trees
10.A Model for the Stock Price Behavior
11.The Black-Scholes-Merton Model
12.Options on Stock Indices and Currencies
13.Futures Options

Metodologia de avaliação

The course is structured into 13 weekly sessions of 3 hours (2 sessions of 1.5 hours each), in which new topics are introduced by the lecturer. Students are asked to solve problems on the different topics covered, and they are given access to solutions.
Assessment:
Group Work Assignments (30% of final grade), consisting of analysing and solving a case-study. Students must organize themselves into groups of three (min) to five students (max). Students must prepare a written report (hard copy), together with an Excel spreadsheet (when appropriate). The Group may be selected to explain their solution in an oral examination that will be considered for the final grade in the Group Work.
Final Exam (70% of final grade), with a minimum grade of 8.5/20. The exam will be in a close book style. However, a list of formulas and equations will be supplied to be used by students during the exam. Students may be randomly or specifically selected to defend their grades observed in the written exams.

Bibliografia

Principal