Forwards, swaps, options and other derivatives. Financial Instruments of the II Generation 2600-FOSIP-OG

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

Course coordinators

Marta Grzesik

Type of course

general courses

Mode

Remote learning

Prerequisites (description)

(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.

Learning outcomes

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

Assessment criteria

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

Notes

Term 2023Z:

None

Term 2024Z:

None