Derivados
| Código: | 2MiF11 | Sigla: | Dv |
| Áreas Científicas | |
|---|---|
| Classificação | Área Científica |
| OFICIAL | Estudos de Gestão |
Ocorrência: 2020/2021 - 2S 
| Ativa? | Sim |
| Curso/CE Responsável: | Mestrado em Finanças |
Ciclos de Estudo/Cursos
| Sigla | Nº de Estudantes | Plano de Estudos | Anos Curriculares | Créditos UCN | Créditos ECTS | Horas de Contacto | Horas Totais |
|---|---|---|---|---|---|---|---|
| MIF | 47 | Plano Oficial a partir de 2020-2021 | 1 | - | 3 | 21 | 81 |
Campos alterados: Fórmula de cálculo da classificação final, Componentes de Avaliação e Ocupação, Obtenção de frequência
Língua de trabalho
InglêsObjetivos
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.
Resultados de aprendizagem e competências
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.
Modo de trabalho
PresencialPrograma
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
Bibliografia Obrigatória
John Hull; Options, Futures, and Other Derivatives (10th Edition), Prentice Hall, 2018. ISBN: 978-0-13-447208-9Damodaran Aswath; Strategic risk taking. ISBN: 978-0-13-704377-4
Métodos de ensino e atividades de aprendizagem
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.
Tipo de avaliação
Avaliação distribuída com exame finalComponentes de Avaliação
| Designação | Peso (%) |
|---|---|
| Teste | 60,00 |
| Participação presencial | 15,00 |
| Trabalho prático ou de projeto | 25,00 |
| Total: | 100,00 |
Componentes de Ocupação
| Designação | Tempo (Horas) |
|---|---|
| Elaboração de projeto | 15,00 |
| Estudo autónomo | 45,00 |
| Frequência das aulas | 21,00 |
| Total: | 81,00 |
Obtenção de frequência
One of the following continuous assessment regimes:
2) Option 2
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.
Fórmula de cálculo da classificação final
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).
Provas e trabalhos especiais
Group assignment: the subjects will be discussed in class.
Avaliação especial (TE, DA, ...)
Final Exam.
Melhoria de classificação
Final Exam and oral examination.
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