Derivatives
1. Goals and objectives of the discipline
This course sets following goals:
 To develop the ability of students to master knowledge and to understand at the
advanced level character and ways of use of financial derivatives;
 To provide students with opportunity to develop ability to critically analyze
academic literature in the field of derivative financial instruments;
 To provide students with ability to critically evaluate this complex specialized
field of knowledge from the point of view of studying risk management and
writing a dissertation in the field of financial engineering.
2. Requirements to the results of the discipline:
As the result of the study of this discipline the following competences should be formed by
student:
ОК – 1 ability to improve and develop the intellectual and common cultural level
ОК – 3 ability to independently acquire (including through information technology) and to use in
practical activity new knowledge and skills, including new fields of knowledge not directly
related to the field of activity
ОК – 4 ability to make organizational and managerial decisions and readiness to take
responsibility for them including the emergency situations
ПК -1 ability to generalize and critically evaluate the results obtained by domestic and foreign
researchers, to identify perspective fields of study, to make the research program
ПК -6 ability to evaluate the efficiency of projects taking into account the uncertainty factor
ПК -7 ability to develop strategies of economic agents in different markets
ПК -8 ability to prepare analytical materials for evaluation of activities in the field of economic
policy and for making strategic decisions at micro and macro level
ПК -9 ability to analyze and use various sources of information for economic calculations
ПК -10 ability to make the forecast of basic social-economic indicators of the performance of the
enterprise, industry, region and economy as a whole
ПК -11 ability to manage economic services and divisions in enterprises and organizations with
different ownership forms, in the state and municipal authorities
3. The essence of the discipline
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Name of the section of discipline
п/п
Contents
1
Introduction to the derivatives market and overview of financial mathematics
2
Forward contracts
3
Futures market
4
Fixed income theory
5
Swaps
6
Introduction to options
7
Options: Binomial estimate and stochastic models
8
Black-Scoles-Merton model of options pricing and estimation of options with different
underlying assets
9
Risk management
10
Empirical studies
Total: 8/16/84
The final form of control - test
5. Main reading
- Hull, J.C. (2008), Options Futures and Other Derivatives, 7th edition, Prentice Hall
Additional reading
1. McDonald, R (2006), Derivative Markets, 2nd edition, Pearson International Edition
2. Neftci, N., (2000). An Introduction to the Mathematics of Financial Derivatives, 2nd edition,
Salih Academic Press
3. Baxter, M. and A. Rennie (1996), Financial Calculus: An Introduction to Derivative Pricing,
Cambridge University Press.
4. Brandimarte, P. (2006), Numerical Methods in Finance and Economics: A MATLAB-based
Introduction, 2nd edition, Wiley.
5. Dixit, A. and R. Pindyck (1994), Investment Under Uncertainty, Princeton.
6. Jarrow, R. and S. Turnbull (2000), Derivative Securities, 2nd edition, South-Western College
Publishing, Thomson Learning.
7. Lamberton, D. (2007), Introduction to Stochastic Calculus Applied to Finance, 2nd Edition,
Chapman & Hall.
8. McDonald, Robert (2006), Derivative Markets, 2nd edition, Pearson International Edition.
9. Stulz, R.M. (2003), Risk Management & Derivatives, South-Western College Publishing,
Thomson Learning.
10. Tuckman, (2002), Fixed Income Securities, 2nd edition, Wiley.
11. Watsham, T. and K. Parramore (1997), Quantitative Methods in Finance, 2nd edition, Thomson
Learning.
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