Presentaciones curso 21-22
- Sesión 1 (07/09). Introducción a los derivados, principales productos, pay-offs, mercados en los que se negocian.
- Sesión 2 (13/09). Mercado de futuros. Cómo funciona el mecanismo de margen.
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- Session 1. Intro to the course, intro to derivatives, main products and characteristics, pay-offs, markets.
- Session 2. Futures markets, how Futures contracts are defined, margin (see Excel file), accounting, regulation.
- Session 3. What types of dealers we find in the Market, how to hedge with Futures (have a look at the Excel file) (also see the proof of the formula of the hedge ratio)
- Session 4. Different interest rates curves, avoiding arbitrage to price forwards of assets with no income, with discrete income and with continuous income. If you want to review what we saw in class, Khan Academy explains it correctly (part 1, part 2) . Be careful as he considers depo/loan interest rates are different.
- Session 5. Currency forwards (have a look at PPP and Interest Rate Parity in Wikipedia) (also have a look at the Excel file), commodity fowards, what's the value of a forward after we buy it or sell it?, are the prices of forwards and Futures the same?
- Session 6. How to hedge interest rates through FRAs and Eurodollar Futures. Have a look at the example on how to calculate forward interest rates.
- Session 7. Basics on options, what are the payoffs, how do they work, time value and intrinsic value, put-call parity. Khan Academy explains how to do an arbitrage if put-call parity does not hold (video 1, video 2).
- Session 8. Strategies with option.
- Session 9. Binomial trees.
- Session 10. Binomial trees (2) + Delta. How to make a delta neutral position.
- Session 11. Gamma, Vega, Theta.
- Session 12. Real options (option to delay, option to expand, option to abandon). Have a look at this paper from Aswath Damodaran. He explains here the option to delay and here the option to expand or abandon. During this session, we will be pricing with a B-S model, even though we are referring to American options. The B-S formula will give us a floor.
- Session 13. Interest Rates (IRS and options on Interest Rates).
- Session 14. Credit Derivatives (CDS, Nth to default, CDO). I suggest that you watch 'Margin call', nice movie on how a Bank builds Credit Derivatives and what are the consequences of a massive unwinding of this type of products.'Inside job' also takes a look at the financial meltdown during 2008. Have a look at the Excel sheet on CDS.
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Presentaciones en castellano (presentations in Spanish)
- Sesión 1. Introducción a los derivados, principales productos, pay-offs, mercados en los que se negocian.
- Sesión 2. Mercados de futuros. Cómo se define un contrato de futuro, garantías, contabilización, regulación.
- Sesión 3. Cobertura por medio de futuros.
- Sesión 4. Valoración de Forwards (1)
- Sesión 5. Valoración de Forwards (2)
- Sesión 6. FRAs y Futuros de Eurodollar.
- Sesión 7. Básicos sobre opciones.
- Sesión 8. Estrategias con opciones.
- Sesión 9. Árboles binomiales.
- Sesión 10. Árboles binomiales (2) y Delta.
- Sesión 11. Gamma, Vega, Theta.
- Sesión 12. Derivados de Crédito.
- Sesión 13. Derivados de Tipo de Interés.
- Sesión 14. Repaso derivados TI y derivados crédito.
- Sesión 15. Behavioral Investing
- Master Derivados Financieros. Compendio de Mercados, Futuros/Forwards, Opciones, Permutas para una sesión de 4 horas.
