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Wednesday, 17 October 2012

Materi Kuliah Keuangan Derivatif: Kontrak Perkuliahan Derivatif Keuangan Universitas Airlangga

FAKULTAS EKONOMI DAN BISNIS UNIVERSITAS AIRLANGGA

KONTRAK PERKULIAHAN
DERIVATIF KEUANGAN


Deskripsi Mata Kuliah
Mata kuliah ini memberikan pengetahuan kepada mahasiswa mengenai mekanisme dan kegiatan di pasar derivatif, jenis pedagang di pasar derivatif dan cara kerja masing-masing pedagang, serta cara penetapan harga produk-produk derivatif.

Tujuan Mata Kuliah
Setelah menempuh mata kuliah ini, mahasiswa diharapkan dapat memahami pasar derivative beserta dengan instrumen yang terdapat di dalamnya, mekanisme perdagangan forward, future, option, dan swap, serta bagaimana cara melakukan strategi hedging. Selain itu mahasiswa juga diharapkan dapat menerapkan metode penentuan harga forward, future dan option.

Penilaian
Ujian Sisipan:                         30%
Ujian Akhir:                           30%
Tugas dan partisipasi kelas:  40%

Referensi:

  1. Hull, John C., Fundamentals of Futures and Options Markets, Sixth Edition,  Pearson International Edition, 2008.

Minggu
Topik
Sub Topik
Bacaan
1
Introduction
1.       Futures Contracts
2.       History of Futures Markets
3.       The Over the Counter Market
4.       Forward Contracts
5.       Options Contracts
6.       History of Options Markets
7.       Types of Traders
8.       Hedgers
9.       Speculators
10.    Arbitrageurs
Chapter 1
2
Mechanics of Futures Markets
1.       Opening and Closing Futures Positions
2.       The Specification of a Futures Contract
3.       Covergence of Futures Price to Spot Price
4.       The Operation of Margins
5.       Delivery
6.       Types of Traders and Type of Orders
7.       Regulation
8.       Foward vs Futures Contracts
Chapter 2
3
Hedging Strategies Using Futures
1.       Basic Principles
2.       Arguments for and against Hedging
3.       Basis Risk
4.       Cross Hedging
5.       Stock Index Futures
6.       Rolling the Hedge Forward
Chapter 3
4
Interest Rate
1.       Types of Rates
2.       Measuring Interest Rates
3.       Zero Rates
4.       Bond Pricing
5.       Determining Treasury Zero Rates
6.       Forward Rates
7.       Forward Rate Agreements
8.       Theories of the Term Structure of Interest Rates
Chapter 4
5
Determination of Forward and Futures Prices
1.       Investment Assets vs Consumption Assets
2.       Short selling
3.       Assumptions and Notation
4.       Forward Price for an Investment Asset
5.       Known Income
6.       Valuing Forward Contracts
7.       Are Forward Prices and Futures Prices Equal?
8.       Futures Prices of Stock Indices
9.       Forward and Futures Contracts on Currencies
10.    Delivery Options
Chapter 5
6
Swaps
1.       Mechanics of Interest Rate Swaps
2.       Day Count Issuses
3.       Confirmations
4.       The Comparative Advantage Arguments
5.       The Nature of Swap Rates
6.       Determining LIBOR/Swap Zero Rates
7.       Valuation of Interest Rate Swaps
8.       Currency Swaps
9.       Valuation of Currency Swaps
10.    Credit Risk
Chapter 7
MID TERM TEST
7
Mechanics of Options Markets
1.       Types of Options
2.       Option Positions
3.       Underlying Assets
4.       Specification of Stock Options
5.       Trading
6.       Commissions
7.       Margins
8.       The Options Clearing Corporation
9.       Regulation
10.    Taxation
11.    Warrants, Executive Stock Options, and Convertibles
12.    Over the Counter Markets
Chapter 8
8
Valuing Stock Options: The Black -Scholes Model
1.       Assumptions about How Stock Prices Evolve
2.       Expected Return
3.       Volatility
4.       Estimating Volatility from Historical Data
5.       Assumptions Underlying Black-Scholes
6.       The Key No-Arbitrage argument
7.       The Black-Scholes Pricing Formulas
8.       Risk-Neutral Valuation
9.       Valuing Executive Stock Options
Chapter 12

9
Options on Stock Indices and Currencies
1.       Options on Stock Indices
2.       Currency Options
3.       Options on Stocks paying Known Dividend Yields
4.       Valuation of Stock Index Options
5.       Valuation of Currency Options
Chapter 13
10
The Greek Letters
1.       Illustration
2.       Naked and Covered Positions
3.       A Stop-Loss Strategy
4.       Delta Hedging
5.       Theta
6.       Gamma
7.       Relationship between Delta, Theta, and Gamma
8.       Vega
9.       Rho
10.    The Realities of Hedging
11.    Scenario Analysis
12.    Stock Market Volatility
Chapter 15
11
Value at Risk
1.       The VaR Measure
2.       Historical Simulation
3.       Model-Building Approach
4.       Linear Model
5.       Quadratic Model
6.       Estimating Volatilities and Correlations
7.       Stress Testing and Back Testing
Chapter 18
12
Interest Rate Options
1.       Exchange-Traded Interest rate Options
2.       Embedded Bond Options
3.       Black’s Model
4.       European Bond Options
5.       Interest Rate Caps
6.       European Swap Options
7.       Term Structure Model
Chapter 19
FINAL TEST

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