Course detail

Commodity and Financial Derivatives

FP-PkfdPAcad. year: 2011/2012

The course familiarises students with securities, derivatives, hedging against risk on commodity and finance markets. Students will be cognizant of new financial instruments. The emphasis will be placed on practical problems with derivatives.

Language of instruction

Czech

Number of ECTS credits

4

Mode of study

Not applicable.

Guarantor

doc. Ing. Zdeněk Sojka, CSc.

Department

Institute of Economics (ÚE)

Learning outcomes of the course unit

Students will be made familiar with the theoretical approaches in the area of derivatives and financial markets and will understand the process of using of derivatives on financial and commodity markets.

Prerequisites

The course requires prior knowledge of economics, securities, mathematics and statistics.

Co-requisites

Not applicable.

Planned learning activities and teaching methods

Teaching methods depend on the type of course unit as specified in the article 7 of BUT Rules for Studies and Examinations.

Assesment methods and criteria linked to learning outcomes

A student has to satisfy the following conditions:
1. Active attendance at seminars will be evaluated by the lecturer (max. 26 points).
2. Successful credit test (max- 24 points).
3. Successful presentation of 2 assignments (the date of presentation of assignments will be specified). A student can achieve max. 50 points for successful presentations of 2 assignments in the set term. When exceeding this deadline, he/she can achieve max. 40 points only.
4. Total sum of achieved points has to be higher than 60 points.

Requirements for the final exam: Student has to understand the subject-matter and prove his/her knowledge acquired in the course.
The final exam is written.

Course curriculum

Introduction to derivatives and financial innovations.
Forward rate agreement
Financial futures
Differences between forward and futures
Clearing house
Margin
Swaps
Options
Call and Put option.
Long and short position.
Put-call parity
Option strategy
Spreads, long a short synthetic stock, butterfly, condor, strip, strap, ratio spreads, conversion, calendar spreads.

Seminars
Practical examples of forward and financial futures
Practical examples of swaps
Presentation of assignments
Practical examples of option and option strategy
Credit test

Work placements

Not applicable.

Aims

The goal of the course is to teach students how to use derivatives for reduction of risk, and to use derivatives on financial and commodity markets.

Specification of controlled education, way of implementation and compensation for absences

Attendance at seminars will be checked by the lecturer. Absence from seminars could be compensated for via a special assignment or a special credit test.

Recommended optional programme components

Not applicable.

Prerequisites and corequisites

Not applicable.

Basic literature

DVOŘÁK P. Finanční deriváty, VŠE Praha 1996, ISBN 80-7079-139-X
JÍLEK, J. Finanční trhy, Grada Publishing 1997, ISBN 80-7169-453-...

Recommended reading

Not applicable.

Classification of course in study plans

  • Programme MGR Master's

    branch MGR-PFO , 2 year of study, summer semester, compulsory-optional

Type of course unit

 

Lecture

20 hod., optionally

Teacher / Lecturer

doc. Ing. Zdeněk Sojka, CSc.

Syllabus

Financial futures
Forward and futures. Forward rate agreement (FRA)
Margin
Swap
Option
Black-Scholes model
Model Cox-Rubinstein
Spreads, long and short synthetic stock, butterfly, condor, strip, strap, ratio spreads, konverze, reverze, box

Exercise

10 hod., compulsory

Teacher / Lecturer

doc. Ing. Zdeněk Sojka, CSc.