Ficha

Versión en español

Course: 2018/2019

Fixed income and derivatives

(13753)

Study: Bachelor in Finance and Accounting (201)

Coordinating teacher: BALBAS DE LA CORTE, ALEJANDRO

Department assigned to the subject: Department of Business Administration

Type: Compulsory

ECTS Credits: 6.0 ECTS

Course: 2º

Semester: 2º

Competences and skills that will be acquired and learning results. Further information on this link

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.

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.

Assessment System

- The weight of the participation in the room will be 5%.
- The weight of several sets of exercises, to be solved at home, will be 15%.
- Two papers developed by teams of three/four students will have the weight 20%.
- The weight of the final exam will be 60%.

% end-of-term-examination 60
% of continuous assessment (assigments, laboratory, practicals...) 40

Basic Bibliography

Hull. Options, futures and other derivatives. Pearson.

The course syllabus and the academic weekly planning may change due academic events or other reasons.