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DERIVATIVE SECURITIES ANALYSIS

2017-2018

IESEG School of Management ( IÉSEG )

Code Cours :

1718-IÉSEG-MBK1S2-FIN-MBKCI09UE

FINANCE


Niveau Année de formation Période Langue d'enseignement 
MSc in Investment Banking and Capital Markets1S2English
Professeur(s) responsable(s)I.FAINSTEIN
Intervenant(s)Isaac Fainstein


Pré requis

Candidates should have a background on finance and capital markets, calculus, probability and statistics, and compounding math.

Objectifs du cours

At the end of the course, the student should be able to :
The student should be able to understand derivatives as contracts with cash flows that are derived from the futures performance of another security, analyze derivatives as an instrument to efficiently transferring risk from one party to another, be able to imagine possible situations where derivatives may be necessary, know how to valuate derivatives in Excel and using the Bloomberg calculators, understand risks associated to each derivative, know how to navigate the Bloomberg terminal to look for information needed to analyze and trade derivatives, gain sensitivity on P&L fluctuations, understand the mark to market implications, and be able to implement live examples according to real life situations. The underlying philosophy of the course is providing the foundations for understanding derivatives as a general concept.

Contenu du cours

The course will be focused on 4 main units: Forwards and derivatives as a general concept of financial engineering, futures, options and an introduction to other derivatives, such as FRAs, variance derivatives and swaps. The course will be focused on the utilization of the Bloomberg terminal as an information provider and as a tool to analyze and trade these instruments.


Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
lecture9,00   Basic derivative securities coverage
Interactive class2,00   Live examples
PBL class5,00   Practical applications based on the Bloomberg terminal
Independent work
Reference manual 's readings15,00   Class slides and recommended books as supplementary material
E-Learning8,00   The Khan Academy videos as supplementary material
Research5,00   Bloomberg manuals to research on derivatives functions
Independent study
Estimated personal workload6,00   Practice in the Bloomberg lab
Charge de travail globale de l'étudiant50,00  

Méthodes pédagogiques

  • Presentation
  • E-learning
  • Interactive class
  • Case study
  • Coaching


Évaluation

Class will be intensive in a 1-week-16 hrs course with an ineractive focus (participative). The final assesment will be based in class participation of the candidadtes (15%), and a final exam which will include MCQ and other questions which will assess theory and practice, based on what was learned and analyzed in class

Type de ContrôleDuréeNombrePondération
Continuous assessment
Participation7,00015,00
Final Exam
MQC1,00035,00
Written exam1,00050,00
TOTAL     100,00

Bibliographie

  • Class slides (must-read material for the exam) -

  • Bodie, Kane and Marcus. Investments. Fifth edition. Mc Graw Hill. Chapters 20, 21, 22 and 23 -

  • John Hull. Options, Futures, and Other Derivatives. Pearson/Prentice Hall (optional) -




 
* Informations non contractuelles et pouvant être soumises à modification
 
 
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