Opções Financeiras e Produtos Estruturados

Objectivos

The objective of this course is to start from basic concepts of derivatives and develop an understanding of the role and practical use of options as a financial instrument, especially in the context of Corporate Finance. The course discusses hedging and pricing of options using both the discrete and continuous-time (Black and Scholes approach). We then relate these techniques to corporate finance applications such as the valuation of investment opportunities,as well as the design of corporate debt instruments

Caracterização geral

Código

400062

Créditos

7.5

Professor responsável

Luís Alberto Ferreira de Oliveira

Horas

Semanais - A disponibilizar brevemente

Totais - A disponibilizar brevemente

Idioma de ensino

Português. No caso de existirem alunos de Erasmus, as aulas serão leccionadas em Inglês

Pré-requisitos

N/A

Bibliografia

John Hull, Options, Futures, and Other Derivatives, Prentice-Hall, Englewood Cliffs, New Jersey, U.S.A. 8^th edition, 2012,

Método de ensino

The teaching method is based on lectures, 2 per week. Students are required to solve online a list of exercises every week regarding the topics discussed in class during that week. At the end there is an applied case study to be solved, where students should make use of the material of the course. A final and short comprehensive exam is made at the end.

Método de avaliação

Weekly online exercises: (average grade E).

Case Studies (grade C)

Final exam (grade F)

Final grade will be 0.5F+0.3C+0.2E

Conteúdo

1^st class: Introduction to Options: notation, payoffs and strategies

2^nd class: Bounds on Option prices: the principles of no-arbitrage

3^rd class: The Binomial Option Pricing Model

4^th class: State Prices and Derivatives Valuation: Recovering the Binomial Model

5^th class: Valuing Options with Stochastic Volatility and Term Structure of Interest Rates

6^thclass: Valuing Options in N periods and the Continuous-Time Limit;

7^thclass: Valuing American Options and Options on Dividend-Paying Assets;

8^th class: The Black-Scholes Model and its Properties;

9^th class: Equity and Corporate Debt Representations as Options;

10^th class: Real Options;

11^th class: Dynamic Delta Hedging and the Greeks;

12^th class: Principles of Simulation;

13^th Class: Exotic Options;

14^th Class: Discrete-Time Models for Options on Interest Rates;

15^th Class: Case Presentation.

Cursos

Cursos onde a unidade curricular é leccionada:

Pós-Graduação em Mercados e Riscos Financeiros