ESF:MPF_STPA Financial Derivatives - Course Information

MPF_STPA Financial Derivatives

Extent and Intensity

2/2/0. 6 credit(s). Type of Completion: zk (examination).
In-person direct teaching

Teacher(s)

doc. Ing. Tomáš Plíhal, Ph.D. (lecturer)
doc. Ing. Tomáš Plíhal, Ph.D. (seminar tutor)

Guaranteed by

doc. Ing. Tomáš Plíhal, Ph.D.
Department of Finance – Faculty of Economics and Administration
Contact Person: Iva Havlíčková
Supplier department: Department of Finance – Faculty of Economics and Administration

Prerequisites (in Czech)

! MPF_STPR Structured products && !NOWANY( MPF_STPR Structured products )

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 35 student(s).
Current registration and enrolment status: enrolled: 0/35, only registered: 3/35

fields of study / plans the course is directly associated with

• Finance (Eng.) (programme ESF, N-FU)
• Finance (programme ESF, N-FIN)
• Finance (programme ESF, N-FINA)

Course objectives

The course Financial Derivatives delves into the intricacies of derivative instruments, focusing on both fixed and conditional contracts, including forwards, futures, swaps, and options. It explores the utilization of derivatives within financial markets, particularly for hedging against various risks. Students will gain a comprehensive understanding of the essence and valuation of financial derivatives, along with detailed insights into the exchange trading mechanisms for futures and options.

Learning outcomes

Upon completing this course, the student will be able to:
- define financial derivatives and understand their specific characteristics
- explain the differences between fixed future contracts and options
- price financial derivatives
- suggest their use

Syllabus

• Schedule:
  1. Introduction to financial derivatives
  2. Forwards and futures
  3. Determination of forward and futures prices
  4. Swaps
  5. Options
  6. Options trading strategies and hedging
  7. Option pricing - Binomial trees
  8. Option pricing - Black-Scholes model
  9. The Greeks and volatility
  10. Options on stock indices, currencies, and futures
  11. Structured products 1
  12. Structured products 2
  

Literature

required literature
• HULL, John. Options, futures, and other derivatives. Global edition. Harlow: Pearson, 2018, 891 stran. ISBN 9781292212890. info

recommended literature
• PIRIE, Wendy L. Derivatives. Hoboken: Wiley, 2017, xix, 597. ISBN 9781119381815. info
• BLÜMKE, Andreas. How to invest in structured products : a guide for investors and investment advisors. Chichester: Wiley, 2009, xvi, 374. ISBN 9780470746790. info
• BODIE, Zvi, Alex KANE and Alan J. MARCUS. Investments. 10th global ed. Maidenhead: McGraw-Hill Education, 2014, xxviii, 10. ISBN 9780077161149. info

Teaching methods

Lectures and seminars (practical exercises with examples)

Assessment methods

Requirements for completion:
- Students can earn 60 points from the written exam and 40 points from the mid-term tests conducted during seminars.
- Each student has the opportunity to retake each mid-term test once at the end of the semester; however, only the most recent result will be considered.
- Bonus points: 1 extra point can be earned for each lecture attendance (max. 12 bonus points per semester).
- The final grade is determined based on the following scale:
A 100 – 91
B 90 – 81
C 80 – 71
D 70 – 61
E 60 – 51
F 50 - 0

- If the student enrolls in the course while going abroad, he must pass all tests and exams upon his return.

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

English

Further comments (probably available only in Czech)

The course is taught annually.
The course is taught: every week.
General note: Předmět je přednášen v angličtině a je ekvivalentní s předmětem Strukturované produkty. Studenti si zapisují jen jeden z těchto předmětů.

Listed among pre-requisites of other courses

• MPF_FIDE Financial Derivatives
  !MPF_STPA&& !NOWANY(MPF_STPA)  

• Enrolment Statistics (recent)
  
• Permalink: https://is.muni.cz/course/econ/spring2025/MPF_STPA