Derivatives Market 231231-D
Wykład (WYK) Semestr zimowy 2024/25

Applications of Financial Derivatives. Marking to Market

Forward. Stock Index Futures. FX Futures. Interest Rate Futures

Pricing Forward and Futures Contracts. Cash and Carry. Implied Repo Rate. Pricing T-Bond Futures. Basis. Spread. Strip. Stack

Hedging and Speculation with Forward and Futures

Call and Put Options. Intrinsic Value. Time Value. Put-call Parity

Option Pricing. Binomial Model. Black-Scholes Model. Implied Volatility, Greeks

Option Strategies. Probability Distribution. Performance.

Risk Management with Options. Hedge Ratio.

Interest Rate and Currency Swaps. IRS. FRA. Forward Swap. IAR. Off-market Swap. Basis Swap. CMS. Corridor. Diff. MTM

Cap. Floor. Collar. Swaption.

Pricing of Swaps. Up-Front Fee. Marked-to-market Value

Duration Gap and Currency Gap. Structured Finance.

Credit Derivatives