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Genesis and application of financial engineering. Causes of crashes on financial markets. Hedge funds activity. Standard and advanced derivatives and problems associated with their applications. Symmetric and asymmetric instruments. The influence of symmetry on its valuation. Volatility and its role in derivatives valuation. Criteria of differentiation among speculation, arbitrage and other investment strategies.
Speculation on the yield curve in the Polish conditions with the use of forward contracts. Forward rates and their role in interest rates prediction and speculation strategy designing. CFD contracts ? functionning and applications. Kinds of speculation.
Problems of short option positions applied by banks on the Polish financial market. Currency, commodity and interest rate arbitrage. Differences between speculation, arbitrage and hedging. Kinds of arbitrage. Arbitrage with the use of futures contracts on the WIG20 index from the Warsaw Stock Exchange. The role of the short sale in this process.
Investment strategies applied by hedge funds. Convertible arbitrage. Dedicated short bias. Emerging markets. Long/short equity. Equity market neutral. Fixed income arbitrage. Event driven. Global macro. Managed futures. Multi-strategy.
Standard and exotic swaps (second generation). Swaptions. Comparison of different methods of swap valuation. The valuation of swap as a long and short position in a bond. Swap valuation as a portfolio of two forwards.
Analysis of sensitivity of standard and exotic options ? similarities and differences. Factors influencing prices of various kinds of exotic options. Delta. Gamma. Theta. Vega. Rho. Parameters monitoring and the role of delta in hedging positions.
Valuation of standard and exotic options contracts with analytical models. Valuation and definitione of option warrants. B-S model, Merton model, Black model, Garman-Kohlhagen model and their modifications for exotic options. Models interpretation. Assumptions.
Valuation of options with binomial trees. Assumptions for the binomial trees method and their adequacy. Idea and application of the hedge ratio. The value of one, two and three period options.
Valuation of standard and exotic options, complex financial instruments with embedded options and option strategies with simulation methods. Assumptions construction. Problems arising during the valuation of different kinds of exotic options and products having them embedded. Options with stocks. Spreads (bull, bear, butterfly, calendar). Straddle, strangle, strip, strap.
Choosen variants of exotic options and methods of their construction and valuation. Time-dependent options. Compound. Binary. Forward-start. Chooser. Asian. Barrier. Lookback. Exotic options on the Polish financial market.
Financial structured products. OTC and stock exchange turnover. Structured forward with barier options with the possibility of double notional value. Acumulators. Leveraged acumulators. Basket notes. Asian basket notes. Factor certificates with leverage. Convertible certificates with down barier. Structured certificates with the protection of capital. Investment certificates. Express certificates. Trackers. Bonus certificates. Structures with exotic options.
Complex financial instruments valuation and construction. Bond with option (exchangeable, convertible). Bonds with a warrant. Bonds with the buy back option. Bonds with a forward contract.
Weather derivatives. Genesis. Appications and problems concerned with it. Most famous constructions. Problems with valuation. Weather indexes.
The analysis of payoff functions for exotic options and financial structured products and their changes while additional conditions are introduced. The role of the payoff function in designing hedging, arbitrage and speculation strategies.
Other kinds of exotic options (lader, ratchet, hybrid, exchange, rainbow, quotient, AON, CON, basket, best-worst, correlation binary, with double strike, alternative, gap, with conditional premium, with non-linear payoff). Cap, floor, collar.
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