Checking date: 22/04/2024

Course: 2024/2025

Fixed income and derivatives
Bachelor in Finance and Accounting (Study Plan 2018) (Plan: 399 - Estudio: 201)

Coordinating teacher: BALBAS DE LA CORTE, ALEJANDRO

Department assigned to the subject: Business Administration Department

Type: Compulsory
ECTS Credits: 6.0 ECTS


The course will provide the students with knowledge about different strategies involving fixed income, equity and derivative markets. Usual speculative and hedging strategies will be analyzed. At the end of this course the student must be able to: - Know the advantages and drawbacks associated with every financial instrument, depending on the investor profile and objectives. - Have a perfect knowledge about fixed income securities and the TSIR in a static framework. - Have a perfect understanding about the notion of ¡§hedging strategy¡¿, along with its advantages and shortcomings. - Use derivatives so as to speculate and hedge. - Use derivatives with other purposes. - Obtain information about prices, volumes, and other parameters in order to price and compose different portfolios with different objectives. - Measure risk levels so as to propose hedging strategies. In the course we will also analyze: - Complex problems involving fixed income securities and derivatives. - Relationships with other courses of Finance and Accounting. Finally: - Collaboration with other students will be stimulated, so as to deal with complex practical problems. - Discussions and critic analyses will be provoked. - The use of static and dynamic approaches will be encouraged.
Skills and learning outcomes
Description of contents: programme
FIRST PART: Fixed income markets, TSIR, Duration and convexity, introduction to credit risk. SECOND PART: Basic concepts and properties of forwards, futures, calls, puts, swaps, etc. THIRD PART: Black and Scholes, Greeks, other Basic dynamic issues.
Learning activities and methodology
Methodology will include: (1) Lectures, in order to present the main ideas of every topic. (2) The use of the computer. (3) Numerical exercises. (4) More complicated practical situations that will be analyzed by teams of three/four students. (5) In this course students can use Artificial Intelligence tools without any kind of restriction. However, it is reminded that no access to any type of computer will be available during the exams.
Assessment System
  • % end-of-term-examination 60
  • % of continuous assessment (assigments, laboratory, practicals...) 40
Calendar of Continuous assessment
Extraordinary call: regulations
Basic Bibliography
  • Hull. Options, futures and other derivatives. Pearson.

The course syllabus may change due academic events or other reasons.

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