Derivatives and Structured Products

2024/2025

Учебный год

ENG

Обучение ведется на английском языке

3

Кредиты

Кто читает:

Департамент финансов

Статус:

Курс по выбору

Когда читается:

2-й курс, 2 модуль

Course Syllabus

Abstract

This course explores the world of derivatives and structured products, delving into their applications in financial markets. We will examine the underlying mechanisms of these instruments and how they are used for risk management, speculation, and to enhance portfolio returns. The course will also analyze the regulatory framework surrounding derivatives and structured products.

Learning Objectives

• Gain a comprehensive understanding of the major financial markets and exchanges where derivatives and structured products trade
• Identify the different types of derivatives, including options, futures, forwards, and swaps
• Analyze the role of derivatives in risk management, particularly hedging and speculation
• Understand how derivatives are valued and influenced by the Greeks mathematical measures
• Evaluate the features and functions of various structured products such as equity-linked notes, synthetic income derivatives, Credit-linked derivatives, and volatility-linked derivatives
• Understand the regulatory landscape governing derivatives and structured products

Expected Learning Outcomes

• Describe the structure and operation of major financial markets and exchanges
• Differentiate between various types of derivatives and discuss their unique characteristics and uses
• Analyze how derivatives serve as risk management tools, particularly within structured products
• Utilize valuation models (e.g., Black-Scholes) to price derivatives and interpret the Greeks to assess sensitivity to underlying factors
• Evaluate the risk-return profile of structured products and their potential to enhance portfolio diversification
• Examine real-world cases to illustrate how derivatives are employed in creating structured products
• Discuss the regulatory environment impacng derivaves and structured products

Course Contents

• Financial Markets and Exchanges
• Fundamental Concepts of Derivatives
• Equity-Linked Derivatives
• Synthetic Income Derivatives
• Volatility-Linked Derivatives
• Credit-Linked Derivatives
• Other Derivative-Linked Products

Assessment Elements

• Paper
• Exam

Interim Assessment

• 2024/2025 2nd module
  0.5 * Exam + 0.5 * Paper

Bibliography

Recommended Core Bibliography

• Keith Cuthbertson, Dirk Nitzsche, & Niall O’Sullivan. (2019). Derivatives : Theory and Practice. [N.p.]: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2271231

Recommended Additional Bibliography

• Derivatives markets and analysis, Johnson, R. S., 2017

Authors

• SOLOVEVA EKATERINA EVGENEVNA