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Finance II

General data

Course ID: 2400-FiR2FI2 Erasmus code / ISCED: 14.3 / (0311) Economics
Course title: Finance II Name in Polish: Finanse II
Department: Faculty of Economic Sciences
Course groups: Specialization courses for II-year, 1st cycle students of Finance and Accounting
ECTS credit allocation (and other scores): (not available)
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.
Course descriptions are protected by copyright.
Copyright by University of Warsaw.