Información detallada de curso |
Intersemestral Jun. 2017
Abr 19, 2024 |
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| Código y Nombre de la Asignatura: ADM 0021 - DERIVATE INSTRUMENTS |
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División Académica:
Escuela de Negocios
Departamento Académico: Dpto.Finanzas y Organizaciones PML 0055 Calificación mínima de 3.0 o PML 7560 Calificación mínima de 3.0 o PML 7125 Calificación mínima de 3.0 Número de créditos: Intensidad horaria (semanal para nivel pregrado y total para nivel postgrado): 3.000 Horas de Teoría 0.000 Horas de Laboratorio Niveles: Educación Superior Pregrado Tipos de Horario: Teoría This course focuses on the understanding of financial derivative instruments and their applications to corporate strategy and risk management. Throughout the course, there is a clear distinction between using derivatives to appropriately manage risk and using them for speculation. The course emphasizes the perspective that derivative instruments are problem-solving tools that, when used correctly, can create value for financial and non-financial corporations. Students develop the basic mathematical tools necessary for analysis, design, pricing, and implementation of derivatives in a managerial context. The used of forward, future, option, and swap contracts, hedging, arbitrage, and derivatives-pricing models are covered. Through case preparation and discussion, students learn to model and evaluate derivative instruments and risk exposure. 3. JUSTIFICATION In recent years there has been considerable growth financial market risk awareness, systemic and non-systemic, as well as recognition of profitable opportunities within those risks during different market condition. Since the world economic crises started in 2008, financial market volatility has gotten to the point in which there is a talk of a new market where investor, hedgers, traders and other market participants must perform under high uncertainty. Financial markets for futures and options have seen a phenomenal growth due to volatility increase across the world. These markets are used by individuals and institutions to meet a variety of objectives (investing, hedging or trading). Most of all, firms and portfolio managers can hedge particular kinds of risk or alter the distribution of the returns in certain ways. There is a sizeable literature on option and futures valuation. While the theory might at first glance appear advanced and difficult, it is in fact quite accessible. The purpose of the course is to provide the student with the necessary skills to value and to employ options, option-like-instruments, futures and forward. In order to provide a useful treatment of these topics in an environment that is changing rapidly, under a simple and practical approach yet technically deep enough toward the development of applicable technics and analysis by course participants. 4. COMPETENCIES TO DEVELOP Institutional Core Competency: Develop the capacity for abstraction, analysis and synthesis. Professional competence: Manage financial resources within an international environment considering the risk in transactions in derivatives markets and instruments for hedging, investing and trading. 5. MAIN OBJECTIVE The course is designed to foster an understanding of derivatives primarily forwards, futures, options, swaps. This is achieved through an introduction of the basic techniques of pricing and trading. The course also focuses on the usage of these instruments for speculation and risk management. 6. LEARNING RESULTS 6.1. SPECIFIC LEARNING OBJECTIVES - Demonstrate a detailed knowledge of the different types of forwards, futures, swaps, options and other financial derivatives, the principal differences between them, and where and how they are traded. - Demonstrate a detailed understanding of the variables (inputs) which influence the value of such derivatives, and the relationship of financial derivatives to their underlying assets. - Present the alternative derivatives strategies that would be appropriate for different market circumstances, and describe the advantages and disadvantages of each. - Demonstrate the uses of all financial derivatives, either alone, or in conjunction with underlying assets, to realize investment, hedging and trading objectives. 6.2. LEARNING OUTCOMES Knowledge - Understand the operation and characteristics of the derivatives financial market. - Comprehend the different types of forwards, futures, swaps, options and other financial derivatives, the principal differences between them, and where and how they are traded - Understand the different derivatives pricing technics on a practical level. Skills - Estimate the risks of studied financial derivatives, and efficient ways of reporting and managing those risks. - Present the alternative derivatives strategies that would be appropriate for different market circumstances, and describe the advantages and disadvantages of each - Analyze the variables (inputs) which influence the value of such derivatives, and the relationship of financial derivatives to their underlying assets Attitudes - Strengthen the capacity of observation and analysis, allowing students to select an appropriate and logical way to solve the respective questions, by applying the concepts of financial derivatives market under an applicable approach for companies both nationally and internationally. 7. COURSE Introduction - Derivatives markets contextualization and description - Derivatives Products - Economics functions of the Derivatives Products - Forwards - Type of traders - Hedgers - Speculators - Arbitrageurs Chap.1 Hull, Options, Futures and Other Derivatives Mechanics of Futures Markets - Background - Futures Contracts Specifications - Types of traders and types of orders Chap.2 Hull, Options, Futures and Other Derivatives - Hedging strategies with futures - Speculation strategies with futures - Arguments for and against hedging - Basics Risks Chap.3 Hull, Options, Futures and Other Derivatives Options - Options Market contextualization and description. - Types of Options - Option positions Chap.8 Hull, Options, Futures and Other Derivatives Options - Options trading strategies for hedging and speculation Chap.10 Hull, Options, Futures and Other Derivatives The Black Scholes Merton Model Chap.13 Hull, Options, Futures and Other Derivatives The Greek Letters: Delta, Theta, Gamma, Vega, Rho Chap.15 Hull, Options, Futures and Other Derivatives Swaps - Mechanics of interest rate swaps Chap.7 Hull, Options, Futures and Other Derivatives 8. METHODOLOGY - TEACHING STRATEGIES Basic Class Basic class will be used to present the concepts, which will be complemented by workshops and exercises in the classroom and beyond, made by students, which will allow the concepts developed consolidate and interpret the news or articles related to the international economy and international finance. This will be supported by the financial laboratory of the Business School. Work asignments This course requires work outside of class which will be supported by workshops per unit to be developed by students, for which they will have the advice of the teacher when required, this advice can be given personally or by Web Catalog of the subject. Trading platforms support This course requires the understanding and use of some trading platforms, in order to give to the students a complementary learning of how to use derivatives instruments in real world, both for hedging and speculative purposes. To achieve this, some classes require the individual use of computers for each student in order to download and learn the use of these tools. Applied project An applied project will be conducted by the students in which they will conform a hedging portfolio in order to evaluate which of the derivative instruments studied will be the best option for the particular case of a company. 9. ASSESMENT Midterm exam I: 30% Midterm exam II: 20% Quices y work asignments: 10% Applied project: 20% Final Exam: 20% 10. BIBLIOGRAPHY Hull, John C. Options, Futures and Other Derivatives (8Th Edition). New Yersey: Prentice Hall. McDonald, Robert L. Derivative Markets (3rd Edition). Pearson. Complementary books Gordon J. Alexander. Fundamentals of Investments (3rd Edition). New Yersey: Prentice Hall |
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