INTERNATIONAL BURCH UNIVERSITY
Faculty of Economics and Social Sciences
Department of Banking and Finance
2016-2017

SYLLABUS
Code Name Level Year Semester
BAF 332 Introduction to Derivatives and Trading Techniques Undergraduate 2 Spring
Status Number of ECTS Credits Class Hours Per Week Total Hours Per Semester Language
Compulsory 5 2 + 1 0

Instructor Assistant Coordinator
Sanel Halilbegović, Assist. Prof. Dr. Prof. Dr. Sanel Halilbegovic Sanel Halilbegović, Assist. Prof. Dr.
[email protected] [email protected] no email

This course introduces students to derivative instruments, which are contracts whose values derive from prices of underlying assets and goods such as equities, currencies, debt, and commodities. The main focus is on the valuation and application of the principal derivative building blocks including futures and forward contracts, options, and swaps.

COURSE OBJECTIVE
To give students an understanding of issues pertaining to pricing and hedging with options on individual stocks and indexes, to examine forwards and futures contracts for equity indices, commodities, and currencies, and to analyze second generation derivative products such as interest rates and the management of credit risks

COURSE CONTENT
Week
Topic
  1. Introduction
  2. Structure of Options pricing
  3. Principals of options pricing
  4. Binomial option pricing
  5. Option pricing Black & Scholes
  6. Option Strategies
  7. Advanced option strategies
  8. MIDTERM
  9. Structure of Futures
  10. Structure of Forwards
  11. Principles of pricing
  12. Swaps
  13. Option Markets
  14. Project
  15. FINAL

LABORATORY/PRACTICE PLAN
Week
Topic

    TEACHING/ASSESSMENT
    Description
    • Interactive Lectures
    • Practical Sessions
    • Excersises
    • Presentation
    • Discussions and group work
    • Field trips
    • Student debates
    • Problem solving
    • Assignments
    • Case Studies
    • Guest instructor
    • Use of educational films
    Description (%)
    Method Quantity Percentage (%)
    Quiz110
    Homework110
    Midterm Exam(s)25
    Final Exam140
    +ClassParticipation115
    Total: 100
    Learning outcomes
    • Discuss and explain in detail financial instruments such as options, futures, swaps and other derivative securities
    • Describe and understand the economic environment in which such instruments operate
    • Explain futures arbitragre strategies
    • Develop and employ theoretical valuation methods to price these financial instruments
    • Apply these instruments in managing the risk of investing and hedging activity at the individual and the corporate level
    TEXTBOOK(S)
    • Chance M.D. & Brooks D. (2008). An introduction to derivatives and risk management. 7th edition. Cengage Learning.

    ECTS (Allocated based on student) WORKLOAD
    Activities Quantity Duration (Hour) Total Work Load
    Lecture (14 weeks x Lecture hours per week) 0
    Laboratory / Practice (14 weeks x Laboratory/Practice hours per week) 0
    Midterm Examination (1 week) 0
    Final Examination(1 week) 0
    Preparation for Midterm Examination 0
    Preparation for Final Examination 0
    Assignment / Homework/ Project 0
    Seminar / Presentation 0
    Total Workload: 0
    ECTS Credit (Total workload/25): 0