Finance

obligatory courses

The aim of this course is to present advanced issues and problems regarding financial markets, instruments and investment strategies. During the lectures problems of market efficiency, diversification of financial instruments and financial engineering will be presented. Concepts of selecting securities for investment portfolios, methods of their construction and selection of optimal from the investor's point of view will be discussed.

1. Introduction. Market imperfections. adverse risk selection. Incentive effect. Moral hazard. Herding. The problem of cascades.

2. Money market. Marketable securities. Treasury Bills. Commercial papers. NBP bills. Other bills. Yield curve. Problem of reinvestment risk

3. Foreign exchange market. Functions of currency market. Transactions in the interbank market Spot and forward markets. Foreign exchange rates and quotations. General view of the market

4. Option contracts. Option combinations. Put-call parity. Combinations/ strategies. Slope modifications. Combinations involving mixtures of long and short options – spreads. Rotation. Horizontal and diagonal spreads.

5. Synthetic securities. Financial engineering. Synthetic options and forwards/futures. Cross rate options.

6. The fair pricing of option contracts. Factors influencing the premium. Sensitivity factors. Binomial model. Riskless hedge portfolio. Sharpe formula. The Black-Scholes model of the fair European call option price. Pricing a European put option. Put-call parity. Modifications to the Black-Scholes model

7. Portfolio theory. Multiasset portfolio. Portfolio selection. Markowitz portfolio theory. Capital Market Line. Sharpe methor. CAPM model. Arbitrage Price Theory. Jensen Differential Performance Index. Sharpe measure. Treynor Measure.

D. Blake, Financial market analysis, John Wiley & Sons, 2000

P. de Grauwe, Economics of Monetary Union, Oxford University Press, 2000

L. J. Gitman, Principles of managerial finance, Addison Wesley, 2000

F. S. Mishkin, The economic of money, banking, and financial markets, Addison Wesley, 1998

W. Dębski, Rynek finansowy i jego mechanizmy, WN PWN, Warszawa, 2002

B. Pietrzak et al., System finansowy w Polsce, WN PWN, Warszawa 2008

J. Czekaj et al., Rynki, instrumenty i instytucje finansowe, WN PWN, Warszawa 2008

The student gets acquainted with widely understood finances and their place in economics. The student understands the complexity of markets, the application and methods of valuation of financial instruments (options). The student will learn about market efficiency, market imperfections, methods of assets valuation, creation of synthetic instruments, financial engineering, portfolio analysis and rules of investment portfolio creation.

The student acquires advanced skills in the valuation of options. The student will be able to construct synthetic instruments and option strategies. The student can create investment portfolios, manage finances and use portfolio analysis. The student is able to interpret and explain financial phenomena and mutual relations between them properly. The student knows how to use theoretical knowledge to describe and analyze the causes and processes on the financial market. The student can formulate his own opinions and critically select data and analysis methods on the market. The student has the ability to use the acquired knowledge, extended by a critical analysis of its effectiveness and usefulness. The student also has the ability to independently propose solutions to a specific problem and to understand and analyze financial phenomena.

The student will be able to predict the consequences of actions on the financial market, market dependencies and the interaction of participants' decisions. The student will understand the consequences of the impact of changes in the financial market on the economy and society, will be aware of the importance of financial markets and the volatility and activity in these markets. The student will correctly identify and resolve dilemmas. The student has general and specialist skills in the workshop, such as searching, collecting, analyzing data and their use. The student is also aware of the necessity of constantly expanding his knowledge, updating it and verifying it. He can independently and critically complement his knowledge and skills, expanding them to an interdisciplinary dimension.

KW01, KU01, KU03, KK01

written exam, exercises similar to the presented during the course