Finance II

General data

Course ID:	2400-FiR2FI2
Erasmus code / ISCED:	14.3 Kod klasyfikacyjny przedmiotu składa się z trzech do pięciu cyfr, przy czym trzy pierwsze oznaczają klasyfikację dziedziny wg. Listy kodów dziedzin obowiązującej w programie Socrates/Erasmus, czwarta (dotąd na ogół 0) – ewentualne uszczegółowienie informacji o dyscyplinie, piąta – stopień zaawansowania przedmiotu ustalony na podstawie roku studiów, dla którego przedmiot jest przeznaczony. / (0311) Economics The ISCED (International Standard Classification of Education) code has been designed by UNESCO.
Course title:	Finance II
Name in Polish:	Finanse II
Organizational unit:	Faculty of Economic Sciences
Course groups:
ECTS credit allocation (and other scores):	(not available) Basic information on ECTS credits allocation principles: the annual hourly workload of the student’s work required to achieve the expected learning outcomes for a given stage is 1500-1800h, corresponding to 60 ECTS; the student’s weekly hourly workload is 45 h; 1 ECTS point corresponds to 25-30 hours of student work needed to achieve the assumed learning outcomes; weekly student workload necessary to achieve the assumed learning outcomes allows to obtain 1.5 ECTS; work required to pass the course, which has been assigned 3 ECTS, constitutes 10% of the semester student load. view allocation of credits
Language:	Polish
Type of course:	obligatory courses
Prerequisites (description):	Basic knowledge about derivatives (Finance), basic statistics. Requirements for 2nd year Ist grade students
Short description:	The aim of this course is to present advanced financial instruments, portfolio theory, capital market models, modern financial instruments: futures, forwards, options, swaps.
Full description:	The lecture covers the following subjects: 1. Forward and futures contracts (4 hrs), Contract pricing. Spot prices and investor’s income. Marking to market. Financial contracts on currencies, indexes, and shares. Hedging strategies. 2. Portfolio analysis and asset pricing (10 hrs), Rates of return correlation. Asset portfolio. Risk free portfolio. Short selling. Sharpe model. CAPM. APT. 3. Swap contracts (4 hrs), Swaps and investment strategies. 4. Option contracts (12 hrs). Option markets, price determinants of options, investment strategies, option pricing models: binomial model, Black Scholes model. Index options, currency options, futures options, interest rate options. Option margins positions. Synthetic options.
Bibliography:	- D. Blake, Financial market analysis, John Wiley & Sons, 2000 - J. Czekaj, Rynki, instrumenty i instytucje finansowe, PWN, Warszawa, 2008 - K. Jajuga, T. Jajuga, Inwestycje, PWN, Warszawa, 1998 - W. Dębski, Rynek finansowy i jego mechanizmy, PWN, Warszawa, 2002 - publications of NBP www.nbp.pl - publications of ECB www.ecb.int - publications of FED www.federalreserve.com
Learning outcomes:	Participants should know how to price and use derivatives (futures, swaps, options, options) and know how to use them for investment strategies. Students should identify the impact of economic factors on derivatives prices. They should also construct asset portfolios using different models of portfolio analysis.
Assessment methods and assessment criteria:	test exam

This course is not currently offered.

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Copyright by University of Warsaw.