Forwards, swaps, options and other derivatives. Financial Instruments of the II Generation

general courses

(in Polish) Przedmiot realizowany zdalnie.

Zajęcia nie są przeznaczone dla studentów Wydziału Zarządzania UW.

Aby zajęcia ruszyły na przedmiot musi się zapisać minimum 20 osób.

Remote learning

Course is focused derivatives instruments first of all and some spot instruments like catastrophe bonds, income bonds, junk bonds, credit linked bonds etc. Each of these instrument is presented separately. The course is focused on such instruments as forward (futures), swaps and options, from point of view their pricing, use and behavior (mainly – volatility). There will presented brief introduction to synthetic instrument place and problem concerned securitization. Students will know the possibilities and methods of position hedging using derivatives will be important part of course

1.Main definition: basic instrument, derivate, synthetic instrument, speculation and hedging

2. Risk kinds on the financial market

3.Forward and future –characteristic, features of position occupied, use, pricing algorithms for particular derivative’s, role of the stock exchange for derivatives trade, hedging with derivatives, catastrophe futures

4. Basic information about risk distribution, problem of volatility indicator, historical and implied volatility

5. Options: types of instruments and their characteristics, features of occupied position, pricing models, hedging methods by options use

6. Swap: types, implementation for hedging of credit costs, price change. Swap price and its identification on the market. Catastrophe swap

7. Problem of liquidity different derivatives series, its impact on prices and problem of proper parameters for price calculation

8. Synthetic instruments – synthetic forward, classic option combinations( straddle, strangles, spread), non- standard combination (structures), exotic options

9. Instruments based on assets basket: CDO (based on credits basket), CDS (credit swaps)

10. Different kinds of hedging by particular instruments – direct and cross hedging

11. Hedging against catastrophe risk (catastrophe futures, catastrophe swaps

Student get knowledge about particular derivative instruments, their character, pricing algorithms and their implantation. Similarly – also in case CDO bonds, catastrophe bonds and bonds based on credit basket. He knows size of risk concerned derivatives use and other instrument from the “toxic” group. He know possibilities of hedging against market changes. He is able to select the proper instruments according needs of risk management. Using proper algorithm and computer programs he is able to find fair price of these

Students, who will be absent at most two class can chose one of two form: preparing essay on theme approved by the course coordinator or pass oral test concerning course topics. For the rest of students only the last solution will be applied