1. COURSE OBJECTIVES
This is an undergraduate level course designed to prepare students to be a financial risk manager in banks, corporations or other institutions. Through chapters, case analyses, and discussions we will explore issues related to the uses and the valuation of the main derivative financial instruments: forward, futures, swaps and options. The issues cover the trading mechanisms used on derivative markets and explains the fundamental principles underlying the pricing of derivative instruments and their use in portfolio management.
2. COURSE CONTENT
|
No. |
Content |
Time Allocation |
Contribution to CLO |
|||
|
Hour(s) on the class |
Essays, exercise, Assignments |
Self-study with teacher’s tutorials |
||||
|
Lecture |
Practice, Seminar |
|||||
|
1-2 |
Overview of Financial Risk Management |
5 |
0 |
0 |
12 |
1,5,7 |
|
3-5 |
Forwards, Futures, and applications |
5 |
4 |
5 |
15 |
1,2,3,5,7 |
|
6-7 |
Forward and Futures Pricing |
5 |
3 |
4 |
13.5 |
1,3,5,7 |
|
8-9 |
Swaps Contracts, pricing and applications |
5 |
3 |
6 |
13.5 |
1,4,6,7,8 |
|
10-12 |
Options and applications |
5 |
3 |
4.5 |
14.5 |
1,2,5,6,7 |
|
13-15 |
Options Pricing and Module Wrap-up |
5 |
2 |
3 |
14 |
1,2,6,7 |
|
Total |
30 |
22.5 |
15 |
82.5 |
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3. COURSE ASSESSMENT
– Score ladder: 10
– Type of assessment
|
Form |
Content |
Criteria |
CLO |
Proportion |
|
|
Formative |
Attendance |
|
The number of attendances and participation in lesson |
7,8 |
10% |
|
Midterm exam |
Issues have been studied |
MCQ and/or Written exam (60 minutes) or simulation trading |
1-7 |
30% |
|
|
Summative |
Final test |
|
MCQ /+ Written exam (60 minutes) |
1-7 |
60% |
|
|
|
|
Total: |
100% |
|