MPF_FIDE Financial Market Derivatives

Faculty of Economics and Administration
Spring 2020
Extent and Intensity
2/2/0. 6 credit(s). Type of Completion: zk (examination).
Ing. Tomáš Plíhal, Ph.D. (lecturer)
prof. Ing. Oldřich Rejnuš, CSc. (lecturer)
Ing. Tomáš Plíhal, Ph.D. (seminar tutor)
Guaranteed by
prof. Ing. Oldřich Rejnuš, CSc.
Department of Finance - Faculty of Economics and Administration
Contact Person: Iva Havlíčková
Supplier department: Department of Finance - Faculty of Economics and Administration
Thu 14:00–15:50 P102
  • Timetable of Seminar Groups:
MPF_FIDE/01: Thu 16:00–17:50 P201, T. Plíhal
Course Enrolment Limitations
The course is only offered to the students of the study fields the course is directly associated with.
fields of study / plans the course is directly associated with
Course objectives
The course Financial Derivatives deals primarily with fixed and conditional term derivative instruments such as forwards, futures, swaps and options. It explains the ways in which derivatives are used in the financial markets, especially in managing interest and currency risk, enables to understand the nature of financial derivatives, their valuation and the specifics of exchange trading of futures and options.
Learning outcomes
At the end of this course the student will be able: define financial derivatives and understand their specific characteristics; understand and explain differences between fixed future contracts and options; evaluate financial derivatives and suggest their use in praxis
  • Thematic plan of lectures:
  • 1. Definition and history of derivatives
  • 2. Fixed futures contracts - forwards and futures
  • 3. Forwards and futures pricing
  • 4. Fixed futures contracts - swaps
  • 5. Options - the importance and use of
  • 6. Valuation of options - binomial model
  • 7. Valuation of options - Black-Scholes model
  • 8. Exotic options 1
  • 9. Exitic options 2
  • 10. Synthetic futures derivative instruments
  • 11. Hedging, delta hedging, gama hedging
  • 12. Accounting and tax treatment of derivatives
  • 13. Derivatives trading in the advanced economies
    required literature
  • REJNUŠ, Oldřich. Finanční trhy (Financial markets). 4., aktual. a rozšířené. Praha: Grada Publishing, 2014. 768 pp. Profesionál, 3593. ISBN 978-80-247-3671-6. info
  • HULL, John. Options, futures, and other derivatives. Global edition. Harlow: Pearson, 2018. 891 stran. ISBN 9781292212890. info
    recommended literature
  • DVOŘÁK, Petr. Deriváty. Vyd. 2., přeprac. V Praze: Oeconomica, 2008. 297 s. ISBN 9788024514352. info
  • ŠTURC, Boris. Deriváty finančních trhů (Financial derivatives). Brno: Masarykova universita, Ekonomicko - správní fakulta, 2002. 66 pp. info
  • ŠTURC, Boris, Lenka MÍČKOVÁ and Miroslav GAJZLER. Vybrané problémy finančního trhu : deriváty finančních trhů a mezinárodní finanční management : učební texty pro studenty oboru finanční podnikání. 2. přepracované vyd. Brno: Masarykova univerzita, 2002. 97 s. ISBN 8021030135. info
  • REJNUŠ, Oldřich. Finanční trhy - učebnice s programem na generování cvičných testů (Financial markets-the textbook with the program to generate the training tests). 1. vydání. Praha: Grada, 2016. 380 pp. ISBN 978-80-247-5871-8. info
Teaching methods
Lectures and seminars (solution of examples)
Assessment methods
Requirements for completion: the course is completed by an oral exam.
Conditions of admission to the examination: Total score of 55 points out of 100. Two written tests with 40 points per a test. Seminar activity, maximum 20 points.
"Any copying, recording or leaking tests, use of unauthorized tools, aids and communication devices, or other disruptions of objectivity of exams (credit tests) will be considered non-compliance with the conditions for course completion as well as a severe violation of the study rules. Consequently, the teacher will finish the exam (credit test) by awarding grade "F" in the Information System, and the Dean will initiate disciplinary proceedings that may result in study termination."
Language of instruction
Further comments (probably available only in Czech)
The course is taught annually.
Credit evaluation note: k=1.
The course is also listed under the following terms Spring 2010, Spring 2011, Spring 2012, Spring 2013, Spring 2014, Spring 2015, Spring 2016, Spring 2017, Spring 2018, Spring 2019, Spring 2021.
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