2018-2019 / FINA0052-1

Financial Derivatives

Durée

30h Th

Nombre de crédits

 Master en sciences économiques, orientation générale, à finalité5 crédits 
 Master en sciences de gestion, à finalité5 crédits 
 Master en ingénieur de gestion, à finalité5 crédits 
 Master en sciences mathématiques, à finalité5 crédits 

Enseignant

Julien Hambuckers

Langue(s) de l'unité d'enseignement

Langue anglaise

Organisation et évaluation

Enseignement au deuxième quadrimestre

Horaire

Horaire en ligne

Unités d'enseignement prérequises et corequises

Les unités prérequises ou corequises sont présentées au sein de chaque programme

Contenus de l'unité d'enseignement

Over the last decades, firms have been increasingly challenged by financial price risks due to unpredictable movements in exchange rates, interest rates and commodity prices. Financial markets have responded to this increase in volatility by developing a continuously growing range of financial instruments, called derivatives, as well as strategies combining these with other traditional financial instruments. As a result, derivative markets have been rapidly increasing in volume for the last decades and derivatives are today recognized as very useful corporate finance and investment tools. Not only the officially exchange traded instruments are very popular as hedging or speculative devices, but also privately arranged or Over The Counter contracts attract a wide variety of customers. Any student in Financial Economics should at least have some basic knowledge of the possible uses, users, and pricing of the most important derivative instruments. In this course we aim to provide such knowledge.  At the end of the course students should feel more comfortable about this complex financial environment.

Acquis d'apprentissage (objectifs d'apprentissage) de l'unité d'enseignement

At the end of this course students will be able to   
- understand how financial derivative instruments (forward, futures and options) work as well as for what purpose they have been designed;
- design forward-, futures- and option-based arbitrage and hedging strategies;
- build rational forward-, futures- and option- price estimates (including among others Black and Scholes option price estimates);
- get a first introduction into swap markets, understand the role and functioning of swap instruments; 
- get a first introduction into credit derivative markets and understand the role and functioning of CDS instruments;
- develop optimal investment strategies integrating financial derivative instruments.  
 
Specific skills and competences trained during this course.
At the end of this course students will have:
- strengthened their knowledge and understanding of management disciplines, their legal framework and their social contexte with a strong focus on quantititative aspects;   - gained knowledge and understanding of financial engineering techniques, of statistics and probability tools and be able to use them in order to solve rel-life financial management problems or cases;
- understood, in management situations, the transversal role of quantitiave reasoning;
- strengthened their capacity to research autonomously and methodically the information needed to solve a complex, transversal real-life management problem, to perform a rigorous analysis of the problem at hand and to design economically sound solutions;
- developed their ability to speak in English; 
- developed team work abilities;
- strengthened their capacity for creative conception of solutions;
- strengthened their professional capacity for oral communication; 
- and strengthened their professional capacity for written communication.


 

Savoirs et compétences prérequis

Prerequistes are a basic finance course, as well as a good knowledge in mathematical and statistical concepts.

Activités d'apprentissage prévues et méthodes d'enseignement

The course is lecture-style with discussions of problem-based assignments. To ensure well-performing tutorials the class will be divided in two or three subgroups for tutorials. Students are requested to prepare lecture and tutorial meetings (hand-ins).


During the group meetings, students will be discussing and solving assigned and non-assigned problems of the textbook. An active participation is required and will be graded. Each week students are required to hand in solutions to assigned problem sets. They are invited to work in groups (2-3 students).

Mode d'enseignement (présentiel ; enseignement à distance)

The course is face-to-face lecture and group-meeting style. Some topics will be handled through distance learning.

Lectures recommandées ou obligatoires et notes de cours

The required textbook that will be used throughout the course is :
- Hull, John Fundamentals of Futures and Options Markets, latest edition, Prentice-Hall.
Recommended books are:
- Cox, John C., and Mark Rubinstein, 1985, Options Markets, Prentice-Hall.
- Kolb, Robert, 2003, Futures, Options and Swaps, 4th edition, Blackwell.

Modalités d'évaluation et critères

The final grade will be determined by


Written exam
Ability to build rational price estimates, to identify and exploit arbitrage opportunities, to build optimal investment and hedging strategies including financial derivatives, to design sound financial decision-making in the complex financial derivative environment, to build a well-articulated comprehensive answer

Problem sets
Ability to build rational price estimates, to identify and exploit arbitrage opportunities, to build optimal investment and hedging strategies including financial derivatives, to design sound financial decision-making in the complex financial derivative environment, to build a well-articulated comprehensive answer.

Participation
Attending class and actively discussing material in class

Please note: A minimum grade (to be announced) for the written exam is required to pass the course (If the written exam grade is, e.g. below 5 -> this grade will be used as final total grade). If the written exam grade is above the minimum grade, the final grade will be determined by weighing the grades for the exam, the problem sets, and class participation.

Stage(s)

none

Remarques organisationnelles

Finance is definitively an analytic field. As a consequence, this course will require students to understand models, do calculations and numerical analysis. Problem sets are to be handed in at the time and date as announced in class. The purpose of problem-based assignments is to understand issues, not to replicate answers. There are no "right answers" to the cases, only good arguments and weak arguments supporting the decision to take specific actions.
Students are expected to do their own work (or work within their group). At no time is it tolerated to use materials from former academic years or other sources. No plagiarism of any kind will be tolerated.

Contacts

Julien Hambuckers, Ph.D. | Assistant Professor of Finance HEC - Management School of the University of Liège (Belgium) 
 email : jhambuckers[at]uliege.be 

Notes en ligne

online notes
The core materials for the course consist of the required textbook readings Lecture notes will be available on the course web page. Other items such as problem sets will also be available on the course web page. Some additional readings on materials related to the course over the term may be provided throughout the course via the course web page. Please refer to LOLA to access the course web page.