Introduction to new course
This course delves into derivative securities, their markets, valuation, and risk management. Learn about futures, options, swaps, and specialized derivatives. Explore trading strategies and pricing models. Dive into mechanics, hedging, and market applications while utilizing essential software and texts.
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Lesson 0 Introduction to new course BFN4310/FIN4103/4922 Derivative Securities and Risk Management Dr. Sarina Preechalert
General Information Course Title BFN4310 / FIN4103/4922 Derivatives Securities Prerequisites FIN4013: FIN 3201/3711 Investment and 109 credits FIN4922: FIN 3201/3711 Investment 09.00-10.30 Class time and Classroom Instructor Information Section 401 Wed/Fri Online / SM310 Sarinapcl@msme.au.edu Dr.Sarina Preechalert https://www.msme.au.edu : https://sarinapree.wordpress.com SM323 Course Website
Course Description Types of derivative securities, mechanics of their markets, their application for hedging and/or speculation, and their valuation, basic modeling techniques for stock prices and other underlying assets which can be used for valuation of plain derivatives such as forwards, futures, options, and swaps in an arbitrage-less market, practical issues of derivatives trading, valuation, and risk management, and specialized derivatives like exotic options, credit, weather, energy, and other derivatives. These slides have been adapted from Dr. Visit Phunnarungsi for FIN3701 and FIN3101 Please do not use without permission.
Course Objectives Define the futures and options markets and outline the different ways in which they can be used. Describe the mechanics of how futures and forward contracts work. Calculate the forward and futures prices in a variety of different situations using pure arbitrage arguments. Explain how futures contracts can be used for hedging. Deal with the special problems associated with interest-rate futures contracts. State the mechanics of various types of swaps and also determine the valuation of swaps. Describe the mechanics of how option markets work. Develop some relationships that must hold in options markets if there are to be no arbitrage opportunities. Outline a number of different trading strategies involving options. Calculate the price of stock options using one-and two-step binomial trees and using the Black-Scholes analysis
Textbook Required Textbook(s): Hull, J.C. (2018), Options, Futures and Other Derivatives, 9th edition, Prentice Hall Required Software: Excel/Financial Calulator Other Required Readings: As assigned in the class Optional Readings: Chance, D. & Brook. R. (2012), An Introduction to Derivatives and Risk Management, 9th edition, Thomson Southwestern.
Evaluation Criteria TFEX Trading Report Date/Time Remarks Online Submission SV Campus/ Online Submission NMR. T.U.P. School 9:00 12:00 SV Campus 5% Sep 27, 2024 (Fri.) Homework & Participation 5% Whole semester 20% Money Management Activity July 1-5, 2024 (Mon.-Fri.)9.00-12.00 30% August 8, 2024 (Thur.)9.00-11.00 40% October 4,2024 (Fri.)13.00-16.00 Midterm Examination Final Examination TOTAL 100 %
I. Money Management Training( 20% marks) 1. Students will be assigned into a group by the instructor. 2. Each group needs to present money management knowledge to high school student. (Concept and details will be presented by lecturer to all groups) 3. Each group must : - Prepare presentation and design the activities to help student understand personal financial planning concept. - Submit a professional report and must make a professional presentation to students. - Prepare pretest post -test for student - Prepare activity that match with audience the most. - Evaluate student understanding and satisfaction. - Present group project in class. 8
Evaluation Criteria Criteria Marks Allocation 5% Professional Report and Presentation Slides: (Correct content, design and beauty of the presentation slides, etc.) Professional Presentation in Class to the Instructor and to High School Students (Professional manner, appropriate AU uniform, appropriate language, etc.) 5% Audience Understandings and Satisfaction (Evaluation score based on the audiences evaluation) Activities to Meet the Target Audiences and Learning Objectives (Quality of activities: appropriateness, achievement of the learning objectives, team involvement, etc.) 5% 5%
II. TFEX & Cryptocurrency TRADING ( 5% marks)
II. TFEX & Cryptocurrency TRADING ( 5% marks) 1. Select one derivatives securities/cryptocurrency to open your position in your simulation portfolio (Streaming/SETTRADE/Binance/Bitkub). 2. Specify reason behind your choice of investment and position 3. Simulate portfolio and start to invest 5,000,000 baht for 1 month starts (The first week comeback after Midterm exams week) 4. Report the price movement daily, weekly and monthly including cumulative gains or losses. 5. At the end close out your position in your simulated portfolio. 6. Write the conclusion and recommendation.
III. Homework (5% marks) Each student has to submit after chapter homework every week.
