MÁSTER UNIVERSITARIO EN BANCA Y FINANZAS

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1 Derivatives MÁSTER UNIVERSITARIO EN BANCA Y FINANZAS (Finance & Banking) Universidad de Alcalá Curso Académico 2018/19

2 GUÍA DOCENTE Nombre de la asignatura: Derivatives Código: Titulación en la que se imparte: Departamento y Área de Conocimiento: Carácter: Presencial Créditos ECTS: 4,5 Curso y cuatrimestre: 1º Master Finance & Banking Departamento de Economía y Dirección de Empresas Francois Friggit Profesorado: Horario de Tutoría: Idioma en el que se imparte: Ph D Gregorio Manuel Serna Calvo Profesor Titular UAH 16:30 15:30 Inglés 1. PRESENTACIÓN Derivatives are instruments whose price is contingent on the price of another instrument. It is not an exaggeration to say that they are one of the main factors which explain the development of financial markets. Their success can be attributed both to their flexibility, which allows developing hedging strategies, as well as to some specific characteristics (e.g. leverage) that also make them quite useful for taking speculative positions. Even though derivatives are conceptually simple, most of these instruments (e.g. exotic options) are extremely difficult to value. This has led to the development of a catalogue of valuation techniques, mostly numerical, which will be analyzed in this course. Prerrequisitos y Recomendaciones (si es pertinente) 2. COMPETENCIAS Competencias genéricas:

3 1. This course provides a basic overview of Derivatives (particularly, Options) from an analytical point of view. We analyze both traditional techniques (such as the Black-Scholes formula) as well as more recent procedures that employ the computational power that it is now available and which permits to value arbitrarily complex instruments. 3. CONTENIDOS Bloques de contenido (se pueden especificar los temas si se considera necesario) Total de clases, créditos u horas Basic Concepts. Hedging Strategies. Black Scholes Formula. 4h Greeks. Neutral portfolios. Monte Carlo Method. 4h Implicit volatility. Dividends. American Options. Binomial Model 4h Midterm exam, General hedging. Exotic Options. 4h Other Derivatives 4h Workshop 4h Workshop 4h Final Exam, Advanced Topics 4h Cronograma (Optativo) Semana / Sesión Contenido 01ª Basic Concepts. Hedging Strategies. Black Scholes Formula. 02ª Greeks. Neutral portfolios. Monte Carlo Method. 03ª Implicit volatility. Dividends. American Options. Binomial Model 04ª Midterm exam, General hedging. Exotic Options. 05ª Other Derivatives

4 06ª Workshop 07ª Workshop 08ª Final Exam, Advanced Topics 4. METODOLOGÍAS DE ENSEÑANZA-APRENDIZAJE.-ACTIVIDADES FORMATIVAS 4.1. Distribución de créditos(especificar en horas) Número de horas presenciales: 32 Número de horas del trabajo propio del estudiante: 48 Total horas Estrategias metodológicas, materiales y recursos didácticos The first part of the class will be devoted to the explanation of the main theoretical concepts and techniques. In the second part of the class, computers will be used to illustrate the theoretical concepts. Excel will be the basic programming tool. Additionally, lectures and/or cases will be discussed. Students are assumed to participate actively in class discussions. Participation, though, it is not graded except in when discussing the cases. 5. EVALUACIÓN: Procedimientos, criterios de evaluación y de calificación 1 Attendance: 5%. 1 Es importante señalar los procedimientos de evaluación: por ejemplo evaluación continua, final, autoevaluación, co-evaluación. Instrumentos y evidencias: trabajos, actividades. Criterios o indicadores que se van a valorar en relación a las competencias: dominio de conocimientos conceptuales, aplicación, transferencia conocimientos. Para el sistema de calificación hay que recordar la Normativa del Consejo de Gobierno del 16 de Julio de 2009: la calificación de la evaluación continua representará, al menos, el 60%. Se puede elevar este % en la guía.

5 Participation, assignments and partial tests: 65% Final exam, 30%, ATTENDANCE Essential. All absences must be notified. Only justified absences will be considered. Reasons for absence must be duly documented, as all absences regarding health etc. must be authorised by the Professor so that the coordinator can account for the absence with an authorised report from the Professor. Non-justified absence during one session will result in the loss of 0.2 points out of 0.5. Non-justified absence during two sessions will result in the loss of 0.4 points out of 0.5. Non-justified absence during three or four sessions will result in the loss of 0.5 points out of BIBLIOGRAFÍA Bibliografía Básica There is no textbook which covers all the topics of this course but one excellent reference is: Hull, J (2005): Options, Futures, and Other Derivatives, Sixth Edition, 189$. Bibliografía Complementaria (optativo)