Universidade Nova de Lisboa

Universidade Nova de Lisboa

Nova School of Business and Economics

Futures and Options

Code

2257

Academic unit

null

Department

null

Credits

3,5

Teacher in charge

João Amaro de Matos

Teaching language

English

Objectives

This course is intended to be an introduction to derivatives, focusing on their economic content and little mathematics. We introduce the basics derivatives instruments namely futures, forwards, swaps and options.

The course is also about financial markets in the sense that explores the uses of such instruments, their pricing principles and trading mechanisms. In order to follow this course, students are supposed to have been through a basic course of Corporate Finance or Financial Management, being familiar with concepts such as discounted cash‐flow and the trade‐off between risk and return.

Prerequisites

N/A

Subject matter

  • Class 1: Introduction to Futures and Forwards (Nov 3, 14:30)

  • Class 2: Mechanics of Future Markets (Nov 4, 9:30)

  • Class 3: Hedging with forwards/futures (Nov 5, 16:00)

  • Class 4: Determination of forward and future prices (Nov 8, 16:00)

  • Class 5: Swaps (Nov 10, 14:30)

  • Class 6: Credit Default Swaps (Nov 15, 16:00)

  • Class 7: Options contracts, markets and strategies (Nov 17, 14:30)

  • Class 8: No-arbitrage principles (Nov 22, 16:00)

  • Class 9: Binomial trees and option pricing (Nov 24, 14:30)

  • Class 10: Case Study Presentation (Dec 6, 16:00)

  • Class 11: From Binomial tree to models of stock returns (Dec 9, 14:30)

  • Class 12: The Black-Scholes valuation for European options (Dec 12, 14:30)

    • Bibliography

    RESOURCES.

  • John Hull, Options Futures and Other Derivatives, Pearson, New York, 2014.

  • Jarrow and Chatterjea, Derivative Securities, Financial Markets and Risk Management, Norton, New York, 2013.

  • Case Study: The B.F. Goodrich-Rabobank Interest Rate Swap

    • Teaching method

    - Lectures in class (twice a week);

    - Weekly quizzes on Moodle in order to revise regularly the material;

    - Students must follow the Khan Academy topics in order to prepare for classes;

    - An intermediate case study to be prepared and presented in group;

    - Final exam;

    Evaluation method

  • 1 - Case study: 15%

  • 2 - Participation: 15%

  • 3 - Quizzes: 20%

  • 4 - Final Exam: 50%

    • Courses