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Derivatives

Code: 2MiF11     Acronym: Dv

Keywords
Classification Keyword
OFICIAL Management Studies

Instance: 2020/2021 - 2S Ícone do Moodle Ícone  do Teams

Active? Yes
Course/CS Responsible: Master in Finance

Cycles of Study/Courses

Acronym No. of Students Study Plan Curricular Years Credits UCN Credits ECTS Contact hours Total Time
MIF 47 Official Syllabus after 2020-2021 1 - 3 21 81

Teaching Staff - Responsibilities

Teacher Responsibility
Cláudia Alexandra Gonçalves Correia Ribeiro

Teaching - Hours

Theoretical and practical : 1,50
Type Teacher Classes Hour
Theoretical and practical Totals 1 1,50
Cláudia Alexandra Gonçalves Correia Ribeiro 1,50
Mais informaçõesLast updated on 2021-02-12.

Fields changed: Calculation formula of final grade, Componentes de Avaliação e Ocupação, Obtenção de frequência

Teaching language

English

Objectives

This course defines the concept of “derivative security” and investigates the mechanics of the markets on which such securities are traded. The significance of derivative securities is analysed both within the context of economic theory as well as from a practitioner’s viewpoint. Special attention is given to the pricing problem of these securities and various methods are studied to solve the problem. It is also discussed how these securities can be used for hedging and risk management. The module analyses the risks associated with derivatives securities, how to measure and manage risk.

Learning outcomes and competences

The risk management in the perspective both of the investor and of the companies require a deep understanding of its instruments. Given the diversity and complexity of derivative instruments, it is considered to be appropriate to focus on these topics.

Working method

Presencial

Program

1. Forwards and Future Contracts

  • Futures Markets
  • Hedging with Futures
  • Forwards and Futures Pricing

2. Swaps

  • Swaps Markets
  • Swaps Pricing

3. Options

  • Options Markets
  • Arbitrage restrictions on options values
  • Strategies involving Options

4.Option Pricing Models

  • Black-Scholes Model
  • Options on Stock Indices, currencies and futures

5. Advanced Topics

  • Exotic Options
  • Credit Derivatives

Mandatory literature

John Hull; Options, Futures, and Other Derivatives (10th Edition), Prentice Hall, 2018. ISBN: 978-0-13-447208-9
Damodaran Aswath; Strategic risk taking. ISBN: 978-0-13-704377-4

Teaching methods and learning activities

Flipped classroom: the principle underlying this methodology assumes that the student will prepare before hand the topics assigned to each class. As a consequence the student will have a greater grasp and critical opinion on those topics so we can free class time to solve cases and exercises with the teacher support. For the preparation of each class the students have available in Moodle videos and reading sugestions per class. 
Each class starts with a quiz that will allow the student to assess the effectiveness of the preparation before the class. Afterwards, specific topics will be addressed followed by the clarification of all the questions risen during that preparation. The second part of the class is dedicated to problem-solving and case analysis in groups. 

Evaluation Type

Distributed evaluation with final exam

Assessment Components

Designation Weight (%)
Teste 60,00
Participação presencial 15,00
Trabalho prático ou de projeto 25,00
Total: 100,00

Amount of time allocated to each course unit

Designation Time (hours)
Elaboração de projeto 15,00
Estudo autónomo 45,00
Frequência das aulas 21,00
Total: 81,00

Eligibility for exams

One of the following continuous assessment regimes:

1) Option 1
- Group project: 25%
- 2 interim exams: 60%
- Engagement: 15%

2) Option 2
- Final Exam: 70%
- Group project: 30% 

Notes:
- Group project (5 students): Guidelines provided in class
- Interim exams: both exams are compulsory
- Engagement: participation in the quizzes and peer assessment of group project 
There is a minimum grade of 60 points (out of 200) for every of these components.

Exam:
- Final Exam:  100%

To improve final grade:
- Final Exam and final oral examinaton:  100%

Calculation formula of final grade

The final grade will be computed with the following weights:

- 2 interim exams: 60%

- Group project: 25% (groups of 5 students)

- Engagement: 15% 

Minimum Grade for every assessment component: 60 points (out of 200 points).

Examinations or Special Assignments

Group assignment: the subjects will be discussed in class.

Special assessment (TE, DA, ...)

Final Exam.

Classification improvement

Final Exam and oral examination.

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