Educational guide | ||||||||||||||||||||||||||||||||||||||||
IDENTIFYING DATA | 2023_24 | |||||||||||||||||||||||||||||||||||||||
Subject | FINANCIAL DERIVATIVES | Code | 01739019 | |||||||||||||||||||||||||||||||||||||
Study programme |
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Descriptors | Credit. | Type | Year | Period | ||||||||||||||||||||||||||||||||||||
6 | Optional | Second | Second |
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Language | ||||||||||||||||||||||||||||||||||||||||
Prerequisites | ||||||||||||||||||||||||||||||||||||||||
Department | DIREC.Y ECONOMIA DE LA EMPRESA |
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Coordinador |
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mgonf@unileon.es mcgonv@unileon.es |
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Lecturers |
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Web | http:// | |||||||||||||||||||||||||||||||||||||||
General description | The objetive of the subject is to know the financial derivatives usage, types, valuation and regualtion. | |||||||||||||||||||||||||||||||||||||||
Tribunales de Revisión |
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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 |
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A17665 A17666 A17667 A17668 |
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A17665 A17666 A17667 A17668 |
B5463 B5468 B5469 B5470 B5472 |
C1 C2 C3 |
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A17665 A17666 A17667 A17668 |
B5463 B5468 B5469 B5470 B5472 |
C1 C2 C3 |
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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 |
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 |
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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 | |||
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 |
Complementary | |
Recommendations |