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INTRODUCTION TO DERIVATIVES

2016-2017

IESEG School of Management ( IÉSEG )

Code Cours :

1617-IÉSEG-BA3S2-FIN-FINB3-EE06UE

FINANCE


Niveau Année de formation Période Langue d'enseignement 
Bachelor3S2English
Professeur(s) responsable(s)H.GATFAOUI
Intervenant(s)H.GATFAOUI


Pré requis

Basics of Financial Markets: knowledge about financial markets, primary assets such as stocks and bonds, valuation of primary assets, interest rates, compounding and discounting processes.

Objectifs du cours

At the end of the course, students should have knowledge about the:
1. Mechanisms of the most used derivatives;
2. Broad principles of derivatives’ valuation and hedging;
3. Elaboration of simple computer-based tools (e.g. Excel) to manage/report derivative positions.

Contenu du cours

The objective of this course is to provide basic knowledge about most used derivatives (e.g. common financial derivatives products). Such knowledge deals with the nature of derivatives, usage and also implications for regulation and related regulatory changes. The focus is globally set on derivatives as well as their use for debt management.
The understanding of derivatives market starts from the diversity of derivatives traders and their different motives for trading such derivatives. Moreover, major derivatives instruments are introduced as well as their interest to risk management. In this light, the hedging properties of derivatives and related possible arbitrage opportunities are highlighted. However, derivatives are also subject to specific risks that investors or derivatives traders should notice.

The course is composed of 4 lectures to be taught across 6 sessions as follows:
• Lecture 1: Introduction, and institutional aspects of futures and forward contracts (2 sessions).
• Lecture 2: Determination of forward and futures prices, and hedging strategies using futures contracts.
• Lecture 3: Swaps (1.5 sessions).
• Lecture 4: Options markets, trading strategies, and exotic options (1.5 sessions).


Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
Interactive class16,00   The course is split between teaching and applications (i.e. exercises)
Independent work
Reference manual 's readings4,00   Students are encouraged to complete their knowledge with the reference book.
Independent study
Group Project14,00   The course project will help students apply and manage their knowledge about derivatives.
Estimated personal workload16,00   Students need to read course materials and to prepare/work on exercises.
Charge de travail globale de l'étudiant50,00  

Méthodes pédagogiques

  • Project work
  • Interactive class


Évaluation

The grading for this course consists of a Group assignment (project or case study) for groups of around 3 students and an Individual written exam with duration 1.5 hours. The final exam will be both problems and eventually well-chosen questions.

Type de ContrôleDuréeNombrePondération
Final Exam
Written exam1,50150,00
Others
Group Project14,00150,00
TOTAL     100,00

Bibliographie

  • Fundamentals of Futures and Options Markets - Primary reference: Hull J. (2014)

    8th Edition, Prentice-Hall International, Inc. (Chapters 1 to 10)

  • Options, Futures, and Other Derivatives - Supplementary reading: Hull J. (2011)

    8th Edition, Pearson Education.


Ressources internet



 
* Informations non contractuelles et pouvant être soumises à modification
 
 
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