| COURSE DESCRIPTION | ||||
| College | College of Administrative & Financial Sciences | Department | Finance | |
| Course Name | Financial Derivatives | Course Code: | FIN405 | |
| Credit Hours | 3 | Contact Hours | 3 | |
| Language | Arabic | English | ||
| Track | College Req. | Dep. Req. | § Concentration | |
| Level | Level 8 | Prerequisite | FIN402 | |
| Course Description: The course is designed to foster an understanding of derivatives primarily forwards , futures, options, swaps, collateralized debt obligations and credit default swaps. This is achieved through an introduction of the basic techniques of pricing and trading. The course also focuses on the usage of these instruments for speculation and risk management. | ||||
| Course learning outcomes: 1. Distinguish between call and put options and apply their use in investment management 2. Design a basic trading strategy which incorporates the use of call and put options 3. Calculate option maximum gain, maximum loss, and breakeven on various options positions 4. Compare and contrast the various aspects of Real Options vs. Financial Options 5. Evaluate the significance of cash versus physical settlement of futures contracts 6. Integrate the use of Forward Rate Agreements (FRA) in various financial scenarios. 7. Critically evaluate the conceptual aspects of swaps and apply the use in various financial scenarios 8. Characterize the various aspects of credit derivative products and determine their appropriateness in a variety of corporate and investment scenarios. | ||||
| Course Major Topics 1. Introduction. 2. Structure of Options Markets. 3. Principles of Option Pricing. 4. Option Pricing Models: The Binomial Model. 5. Option Pricing Models: The Black-Scholes-Merton Model. 6. Option Strategies. 7. 8. The Structure of Forward and Futures Markets. 8. Principles of Pricing Forwards, Futures, and Options on Futures. 9. Futures Arbitrage Strategies. 10. Forward and Futures Hedging, Spread, and Target Strategies. 11. 12. Swaps. 12. Interest Rate Forwards and Options. 13. Advanced Derivatives and Strategies. |
| Learning Resources · Textbook Don M. Chance, Roberts Brooks: Introduction to Derivatives and Risk Management, Cengage Learning; 9 edition (2013), Cengage Learning; 9 edition (March 6, 2012). ISBN-13: 978- 1133190196. |
| Grading: Course works (assignments, quizzes, projects, case studies, board discussion): 25% Midterm exam 25% Final Exam 50% |