PFDEFT Financial Market Derivatives

Faculty of Economics and Administration
Spring 2009
Extent and Intensity
2/2/0. 5 credit(s). Type of Completion: zk (examination).
Teacher(s)
Ing. Boris Šturc, CSc. (lecturer)
Ing. Boris Šturc, CSc. (seminar tutor)
Guaranteed by
doc. Ing. Martin Svoboda, Ph.D.
Department of Finance – Faculty of Economics and Administration
Contact Person: Iva Havlíčková
Timetable
Thu 9:20–11:00 P103
  • Timetable of Seminar Groups:
PFDEFT/1: Thu 11:05–12:45 S309, B. Šturc
PFDEFT/2: Thu 12:50–14:30 S309, B. Šturc
PFDEFT/3: Thu 14:35–16:15 S309, B. Šturc
Prerequisites
Completion of the following courses: Mathematics, Statistics, Financial Markets.
Course Enrolment Limitations
The course is only offered to the students of the study fields the course is directly associated with.

The capacity limit for the course is 72 student(s).
Current registration and enrolment status: enrolled: 0/72, only registered: 0/72
fields of study / plans the course is directly associated with
Course objectives
The course of Financial Market Derivatives (DEFT) aims to make students familiar with financial market derivatives. It will deal particularly with basic derivatives of financial markets and their risks. Derivatives such as forwards, futures and options will be discussed as tools used to diversify risk and manage exchange rate risks.
Syllabus
  • Thematic plan - lectures:
  • 1. Derivative of financial market – definition.
  • 2. Futures contracts - forwards, basic concepts, the importance and functions, principles of valuation.
  • 3. Forwards on interest rate, pricing and use.
  • 4. Forwards in foreign currency, pricing and use.
  • 5. Futures – specifics and ways of trading on stock exchange.
  • 6. Futures on interest rate.
  • 7. Futures on foreign currency.
  • 8. Other futures - on indices, CTD bond.
  • 9. Swaps - importance and use.
  • 10. Interest rate swaps.
  • 11. Foreign exchange swaps.
  • 12. Option deals - importance and valuation.
  • 13. Accounting and tax treatment of derivatives for the needs of commercial banks.
  • 14. Derivatives trading in advanced economies.
  • Thematic plan - seminars:
  • 1. Introductory seminar.
  • 2. Forward price, income and expenses.
  • 3. Forwards on interest rate.
  • 4. Forwards in foreign currency.
  • 5. Check test.
  • 6. Futures on interest rate.
  • 7. Futures on foreign currency.
  • 8. Other futures on indeces, CTD bond.
  • 9. Interest rate swaps.
  • 10. Foreign exchange swaps.
  • 11. Option pricing.
  • 12. Parity Call & Put.
  • 13. Delta hedging and gamma hedging.
  • 14. Accounting and tax treatment of derivatives.
  • 15. Final test.
Literature
  • BREALEY, Richard A. and Stewart C. MYERS. Teorie a praxe firemních financí. Translated by Zdeněk Strnad - Vilém Jungmann - Tomáš Hlaváč. Vyd. 1. Praha: Computer Press, 2000, xix, 1064. ISBN 8072261894. info
  • ŠTURC, Boris, Lenka MÍČKOVÁ and Miroslav GAJZLER. Vybrané problémy finančního trhu : deriváty finančního trhu a mezinárodní management : učební text pro studenty oboru finanční podnikání. 1. vyd. Brno: Masarykova univerzita, 1997, 101 s. ISBN 8021016523. info
  • BLAKE, David. Analýza finančních trhů. Translated by Aleš Hrnčíř - Petr Šedý - Pavel Šimůnek. Vyd. 1. Praha: Grada, 1995, 623 s. ISBN 8071692018. info
  • JÍLEK, Josef. Termínové a opční obchody. 1. vyd. Praha: Grada, 1995, 286 s. ISBN 8071691836. info
  • SHARPE, William F. and Gordon J. ALEXANDER. Investice. Translated by Zdeněk Šlehofr. 4. vyd. Praha: Victoria Publishing, 1994, 810 s. ISBN 80-85605-47-3. info
Assessment methods
The form of instruction: lectures and seminars.
Exam requirements: course finishes with a written and oral exam. Students are allowed to take the exam after the following requirements have been met:
- passing check test;
- passing final test;
- active participation at seminars.
Language of instruction
Czech
Further comments (probably available only in Czech)
Study Materials
The course is taught annually.
General note: Zapisovat se mohou pouze studenti oboru finanční podnikání.
The course is also listed under the following terms Spring 2002, Spring 2003, Spring 2004, Spring 2005, Spring 2006, Spring 2007, Spring 2008.
  • Enrolment Statistics (recent)
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