Introduction to Forwards & Futures
Objectives
This course has three main goals. First, to learn about how linear
derivatives contracts work, namely in terms of basic economic principles,
institutional details and popular applications. Second, to learn how to price
linear derivatives (forwards, futures, and swaps). Third, to understand how to
effectively use linear derivatives as part of risk-management strategies (for
example, in managing exchange rate risk).
General characterization
Code
14505
Credits
2
Responsible teacher
Fernando Anjos
Hours
Weekly - Available soon
Total - Available soon
Teaching language
Portuguese | English
Prerequisites
Available soon
Bibliography
Hull, John C., “Futures, Forwards, and Other Derivative Securities”
Froot,
K., Scharfstein, D., and J. Stein, “A framework for risk management”, Journal
of Applied Corporate Finance, 1994
Stulz,
René, “Rethinking Risk Management”, Journal of Applied Corporate Finance, 1996
Edwards,
F., and M. Canter, “The collapse of Metallgesellschaft”, Journal of Futures
Markets, 1995
Teaching method
The course uses three types of methodologies: lectures, exercises, and one case study to be discussed in class.
Evaluation method
The
assessment of this curricular unit is done together with the block of
curricular units of the same area of knowledge. This assessment has 3 moments,
which together define the final grade of the curricular unit:
•
Individual exam with a weighting of 50% of the total mark
•
Group work with a weighting of 35% of the total grade value
•
Individual reflection-action exercise carried out at the end of the curricular
unit, with a weighting of 15% of the total grade value. The set of individual
action-reflection exercises is a journaling activity, which will constitute, at
the end, a learning portfolio capable of synthesising the contributions of the
Executive Master for that student.
Subject matter
The course will cover the following topics:
•
Basic notions of forwards and futures.
•
The economics of financial risk management.
•
Pricing linear derivatives on various underlying assets: financial securities,
commodities, interest rates.
•
Hedging strategies using linear derivatives.