Educational guide
IDENTIFYING DATA							2020_21
Subject	FINANCIAL DERIVATIVES					Code	01739019
Study programme	1739 - MASTER UNIVERSITARIO CIENCIAS ACTUARIALES Y FINANCIERAS (MUCAF)
Descriptors	Credit.	Type	Year	Period
	6	Optional	Second	Second
Language
Prerequisites
Department	DIREC.Y ECONOMIA DE LA EMPRESA
Coordinador	GONZALEZ FERNANDEZ , MARCOS				E-mail	mgonf@unileon.es mcgonv@unileon.es
Lecturers	GONZÁLEZ VELASCO , MARÍA DEL CARMEN GONZALEZ FERNANDEZ , MARCOS
Web	http://
General description	The objetive of the subject is to know the financial derivatives usage, types, valuation and regualtion.
Tribunales de Revisión	Tribunal titular Cargo Departamento Profesor Presidente DIREC.Y ECONOMIA DE LA EMPRESA FANJUL SUAREZ , JOSE LUIS Secretario DIREC.Y ECONOMIA DE LA EMPRESA AMOR TAPIA , BORJA Vocal DIREC.Y ECONOMIA DE LA EMPRESA SIERRA FERNANDEZ , MARIA DEL PILAR Tribunal suplente Cargo Departamento Profesor Presidente DIREC.Y ECONOMIA DE LA EMPRESA TASCON FERNANDEZ , MARIA TERESA Secretario DIREC.Y ECONOMIA DE LA EMPRESA VALDUNCIEL BUSTOS , LAURA Vocal DIREC.Y ECONOMIA DE LA EMPRESA CASTAÑO GUTIERREZ , FRANCISCO JAVIER

Competencies

Type A	Code	Competences Specific
	A17665
	A17666
	A17667
	A17668
Type B	Code	Competences Transversal
	B5463
	B5468
	B5469
	B5470
	B5472
Type C	Code	Competences Nuclear
	C1
	C2
	C3

Learning aims

	Competences
	A17665 A17666 A17667 A17668
	A17665 A17666 A17667 A17668
	A17665 A17666 A17667 A17668	B5463 B5468 B5469 B5470 B5472	C1 C2 C3
	A17665 A17666 A17667 A17668	B5463 B5468 B5469 B5470 B5472	C1 C2 C3
	A17665 A17666 A17667 A17668	B5463 B5468 B5469 B5470 B5472	C1 C2 C3

Contents

Topic	Sub-topic
Section I - Introduction to organized Futures markets	Topic 1 - Introduction to futures markets 1.1 - Fundamentals of Futures and Options 1.2 - Types of futures and underlying assets 1.3 - Organized and OTC markets 1.4 - Organization and functioning of the futures market. CFDs 1.5 - Theoretical price, base and time spread
Section II - Commodities Futures	Topic 2 - Commodities futures 2.1 - Main markets and underlying assets 2.2 - Characteristics of comodities futures contracts
Section III - Index Futures contract: Spanish IBEX-35	Topic 3 - Stock index futures contracts 3.1 - Stock indices. Spanish IBEX-35 3.2 - Characteristics of index futures contracts 3.3 - Pricing and exposure to market value 3.4 - The futures contract on the IBEX-35 3.5 - Trading: speculation, hedging and arbitrage
Section IV - Euribor Futures	Topic 4 - Euribor Futures 4.1 - Euribor Index 4.2 - Characteristics of Euribor futures contracts 4.3 - Trading: speculation and hedging
Section V - Long term notional bond futures contract	Topic 5 - Notional bond futures 5.1 - Notional bond concept and similars 5.2 - Characteristics of notional bond futures contracts 5.3 - Theoretical price, base and average borrowing cost 5.4 - Trading: speculation and hedging 5.5 - Settlement adn deriverable bonds
Section VI - Option definition adn payment at maturity	Topic 6 - Option concept 6.1 - Definitions, types and basic tradings 6.2 - Options market organization and functioning 6.3 - The option´s premium: concept and valuation 6.4 - Warrants market
Section VII - Arbitrage links with options	Topic 7 - Arbitrage with options 7.1 - Option´s premium before maturity 7.2 - Intrinsic and time value 7.3 - Arbitrage links
Section VIII - Options risks and sensitivity measures	Topic 8 - Options risk 8.1 - FInancial risk measures 8.2 - Option sensitivity analysis
Section IX - Hedging with options	Topic 9 - Hedging with options 9.1 - Hedging basic strategies 9.2 - Complex strategies: trend and volatility
Section X - Options with other underlying assets	Topic 10 - Options with other underlying assets 10.1 - Stock options 10.2 - Currency options 10.3 - Oil options
Section XI - Exotic Options and structured products	Topic 11 - Exotic Options and structured products 11.1 - Financial innovation 11.2 - OTC market. Forwards and swaps 11.3 - Exotic options 11.4 - Structured products
Section XII - Arbitrage	Topic 12 - Arbitrage 12.1 - Synthetic strategies and arbitrage links

Planning

Methodologies  ::  Tests
	Class hours	Hours outside the classroom	Total hours
PBL (Problem Based Learning)	15	20	35
Personal tuition	6	10	16
Practicals using information and communication technologies (ICTs) in computer rooms	15	20	35
Lecture	20	40	60
Mixed tests	4	0	4
(*)The information in the planning table is for guidance only and does not take into account the heterogeneity of the students.

Methodologies

Methodologies   ::  

	Description
PBL (Problem Based Learning)	During the progress of the agenda and in certain parts of it, the teacher will use the system of problem-based learning by proposing case studies related to the topic discussed, for their resolution by the students in groups or in a single way and explain the results privately or through public exposure. This will look for a better understanding of the concepts and issues arising in their practical treatment, the use of basic tools and the capacity of analysis, teamwork and public explaining of the work done
Personal tuition	Personal tuition sessions are based on the official calendar and may be mandatory, with two purposes, the first one, carrying out track work and case studies that require advice or consultation with the teacher and their explaining, but also in some cases it may be for doing evaluating tests. The second one, personal tuition will help answer questions from students of the subject discussed in class.
Practicals using information and communication technologies (ICTs) in computer rooms
Lecture	This optional course is taught throughout the second quarter, three days a week, two of them in lectures of 1 hour and a half each, and the third session for personal tuition. Most of topics will be developed in theoretical and conceptual terms which are necessary to address some practical application based on real situations that may occur in the markets in which they require the active participation of students, both in the form of questions or issues that students can pose or as questions and debates generated by the teacher to analyze each situation presented. Also, the teacher will recommend supporting literature about explained topics, so that each student is able to deepen and complete their training with it.

Personalized attention

Personal tuition

Description Personal tuition sessions are based on the official calendar and may be mandatory, with two purposes, the first one, carrying out track work and case studies that require advice or consultation with the teacher and their explaining, but also in some cases it may be for doing evaluating tests. The second one, personal tuition will help answer questions from students of the subject discussed in class.

Assessment

	Description	Qualification
Practicals using information and communication technologies (ICTs) in computer rooms		30%
Mixed tests	The program provides for two mixed events which may include essay questions, short questions and exercises for students to solve	60%
Others	The continuous assessment model implies that, in order to make it possible, attendance and participation in class are valued in a positive way. Attendance and participation may be in person or online for students that justifies the difficulty to attendance.	This evaluation will account for 10% of total mark
Other comments and second call

ADDENDUM

Contingency plan due to COVID-19 emergency conditions that prevents from presence based teaching

COVID-19 Teaching Guide Addendum Access Link

Sources of information

Access to Recommended Bibliography in the Catalog ULE

Basic	ANGEL VILARIÑO, Derivados: Valor razonable, Riesgos y Contabilidad, Prentice Hall, 2008 ROBERTO KNOP, Finanzas de diseño. Manuel de productos estructurados, Escuela de Finanzas Aplicadas, 2000 EDUARDO MARTINEZ ABASCAL, Futuros y Opciones en la Gestión de Carteras, Mc Graw Hill, 1993 JUAN MASCAREÑAS PEREZ-IÑIGO, JOSE RAMON ARAGONES, JUAN MASCAÑERAS, Futuros y Opciones Financieras, Pirámide, Segunda Edición JOHN C. HULL, Introducción a los Mercados de Futuros y Opciones, Pearson Educación, Cuarta Edición PABLO LARRAGA, OSCAR ELVIRA, Mercado de Productos Derivados, Bresca, 2008 MONTSERRAT VASANOVAS RAMON, Opciones Financieras, Pirámide, Sexta Edición PROSPER LAMOTHE FERNANDEZ Y MIGUEL PEREZ SOMALO, Opciones Financieras y Productos estructurados, Mc Graw Hill, Tercera Edición PABLO FERNANDEZ, Opciones, Futuros e Instrumentos Derivados, Deusto, 1996 SHELDON NATENBERG, Option Volatility and Pricing, Mc Graw Hill, Segunda Edición JOHN F. SUMMA, JONATHAN W. LUBOW, Options on futures, new trading strategies, John Wiley and Sons Inc, 2002 JOHN C. HULL, Options, Futures and other Derivatives, Prentice Hall, Octava Edición GUY COHEN, The Bible of Options Strategies, Prentice Hall, 2005 FRANK J. FABOZZI, The Handbook of fixed-income options: pricing, strategies & applications, Mc Graw Hill, Octava Edición
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