122203 Derivatives

Instructors: Dr. Markus Kreher; Dipl. Kfm. Ralph Schilling

Event type: Seminar

Org-unit: Corporate Management & Economics

Displayed in timetable as: Derivate

Hours per week: 3

Credits: 6,0
Note: In your exam regulations, differing credits may have been specified.

Location: Campus der Zeppelin Universität

Language of instruction: Englisch

Min. | Max. participants: 10 | 35

Priority scheme: Standard-Priorisierung

Course content:
Understanding the basic types of financial derivatives

• Forwards / Futures (OTC traded vs. exchange traded derivatives)
  
• Swaps (foreign exchange; interest rate swaps; cross currency interest rate swaps)
  
• Options (plain vanilla and simple exotic options)
  

• Risk management and hedging strategies
  
• Investment strategies
  

• General accounting rules for derivatives according to IFRS 9
  
• Basic hedge accounting booking entries according to IFRS 9
  
• Basic hedge accounting strategies according to IFRS 9
  

• No abitrage theory
  
• Foward / Future and Swap pricing
  
• Option pricing (Black Scholes formula and binomial tree)
  

Educational objective:
After completion of this course students: 

• should be able to explain the basic types of financial derivatives
  
• should know how financial derivatives can be used for risk management purposes and investment strategies
  
• should know how financial derivatives can impact financial statements according to IFRS
  
• should be able to explain hedge accounting requirements and booking entries according to IFRS 9
  
• should be able to price financial derivatives by using basic valuation methods
  

Further information about the exams:
Time for the exam = 90 minutes

Maximum points = 90

Tools: non-programmable calculator

Exam consists of multiple choice, calculation and essay questions.

Mandatory literature:
No mandatory literature is required for this course. All contents will be included in the lecture notes.