CS

ESF:MPF_FIDE Financial Market Derivatives - Course Information

MPF_FIDE Financial Market Derivatives

Faculty of Economics and Administration
Spring 2019
Extent and Intensity
2/2/0. 6 credit(s). Type of Completion: zk (examination).
Teacher(s)
Ing. Tomáš Plíhal (lecturer)
prof. Ing. Oldřich Rejnuš, CSc. (lecturer)
Ing. Tomáš Plíhal (seminar tutor)
Supervisor
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
Timetable
Thu 8:00–9:50 P103
  • Timetable of Seminar Groups:
MPF_FIDE/01: Thu 12:00–13:50 P104, T. Plíhal
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 40 student(s).
Current registration and enrolment status: enrolled: 28/40, only registered: 0/40
Fields of study 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
Syllabus
  • 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
  • Thematic plan of seminars:
  • 1. Introductory seminar
  • 2. Forward price, income and expenses
  • 3. Forwards on the interest rate, forwards in foreign currency - valuation and use of
  • 4. Futures - positions, trading, margins, examples
  • 5. Swaps
  • 6. Test
  • 7. Options - pricing, binomial model, examples
  • 8. Options - pricing, Black-Scholes model, examples
  • 9. Options - combinations 1, examples
  • 10. Options - combinations 2, examples
  • 11. Delta hedging and gamma hedging, examples
  • 12. Parity Call & Put
  • 13. Test
Literature
    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: passing of two control tests (minimum 60 %), active participation in the seminars (at least 10 attendances).
"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
Czech
Further comments (probably available only in Czech)
Study Materials
The course is taught annually.
Credit evaluation note: k=1.
Information about innovation of course.
This course has been innovated under the project "Inovace studia ekonomických disciplín v souladu s požadavky znalostní ekonomiky (CZ.1.07/2.2.00/28.0227)" which is cofinanced by the European Social Fond and the national budget of the Czech Republic.

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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.
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  • Permalink: https://is.muni.cz/course/econ/spring2019/MPF_FIDE