| Course Type | Elective Course |
|---|
| Course Level | Bachelor's Degree |
|---|
| Year of Study | - |
|---|
| Semester | - |
|---|
| ECTS | 5 |
|---|
| Name of Lecturer(s) |
|
| Learning Outcomes |
At the end of this course, the students;
- Describe the characteristics and features of various derivative securities.
- Form investment and arbitrage strategies with derivative securities
- Manage risk exposure and hedge by means of derivative securities
- Price derivative securities with mathematical models
- Learn trading strategies in derivative markets.
|
| Mode of Delivery | Face to face |
|---|
| Prerequisites | Yes(BUS311) |
|---|
| Recommended Optional Programme Components | No |
|---|
| Course Description | This course covers forwards, futures, swaps, and options. By the end of the course, students will have good knowledge of how these products work, how they are used, how they are priced, and how financial institutions hedge their risks when they trade the products.
Students who miss more than 30% of total class hours receive an F2 grade. |
|---|
| Course Contents |
| WEEK |
TOPICS |
|
1st Week |
Introduction to Course |
|
2nd Week |
Introduction to Derivative Markets |
|
3rd Week |
Structure of Options Markets |
|
4th Week |
Principles of Option Pricing |
|
5th Week |
Option Pricing Models (1) |
|
6th Week |
Option Pricing Models (2) |
|
7th Week |
Midterm |
|
8th Week |
Option Strategies |
|
9th Week |
Structure of Forward and Futures Markets (1) |
|
10th Week |
Structure of Forward and Futures Markets (2) |
|
11th Week |
Principles of Pricing Forwards, Futures (1) |
|
12th Week |
Principles of Pricing Forwards, Futures (2) |
|
13th Week |
Swaps |
|
14th Week |
Presentations |
|
| Recommended or Required Reading | Chance, Don M., Brooks, Robert. An Introduction to Derivatives and Risk Management, Cengage Learning, 2010
Hull, John. Fundamentals of Futures and Options Markets, Pearson, 2017.
Hull, John. Options, Futures, and Other Derivatives. Pearson, 2022.
|
|---|
| Planned Learning Activities and Teaching Methods |
- Lecture
- Discussion
- Questions/Answers
- Problem Solving
- Presentation
|
|---|
| Assessment Methods and Criteria |
|
Quantity |
Percentage (%) |
| Mid-term |
1 |
20 |
| Assignment |
1 |
30 |
| Total(%) |
|
50 |
| Contribution of In-term Studies to Overall Grade(%) |
|
50 |
| Contribution of Final Examination to Overall Grade(%) |
|
50 |
| Total(%) |
|
100 |
|
| ECTS Allocated Based on Student Workload |
| Activities |
Quantity |
Duration (Hour) |
Total Workload (Hour) |
| Midterm exam |
1 |
1 |
1 |
| Preparation for Quiz |
|
|
|
| Individual or group work |
14 |
3 |
42 |
| Preparation for Final exam |
1 |
42 |
42 |
| Course hours |
14 |
3 |
42 |
| Preparation for Midterm exam |
1 |
28 |
28 |
| Laboratory (including preparation) |
|
|
|
| Final exam |
1 |
2 |
2 |
| Homework |
1 |
1 |
1 |
| Total Work Load | 158 |
| Total Work Load / 30 (h) | 5.26 |
| ECTS Credit of the Course | 5 |
|
| Language of Instruction | English |
|---|
| Work Placement(s) | No |
|---|
