Financial management
Code: 100133 ECTS Credits: 6| Degree | Type | Year |
|---|---|---|
| 2500149 Mathematics | OT | 4 |
Contact
- Name:
- Albert Ferreiro Castilla
- Email:
- albert.ferreiro@uab.cat
Teaching groups languages
You can view this information at the end of this document.
Prerequisites
The subject is a natural continuation of the curse Introduction to Financial Engineering and thus it is recomended but not required that the student has acquired the basic knowledge of that subject. It si required that the student has acquired the basic theoretical knowledge of calculus, calculus of probabilities and numerical methods.
Objectives and Contextualisation
The objective of this course is to introduce the student to a very active area, both scientifically and professionally, such as financial mathematics. The main educational goal is to deepen in the description of the different financial assets and to show the mathematical and statistical tools used for their management and valuation, focusing on their proper use and interpretation of the results.
It is for this reason that it is required that the student has acquired the basic theoretical and practical knowledge of the subject Introduction to Financial Engineering as well as the basic theoretical knowledge of calculus, calculus of probabilities and numerical methods.
Thus, the subject is considered as a first course in financial derivatives, focusing on the description of the most relevant assets in the market, its use and its valuation. For more than 40 years, financial derivatives have played a very important role in mitigating risks, speculating or arbitraging markets and have been a fundamental part in the transfer of risk among economic agents. It is for this reason that financial derivatives have also been at the center of different financial crises.
It is also a goal that the student does a job that requires the use of the computer, and this will lead to completing the theory classes with classes of problems and case sets where the computer is present.
Competences
- Develop critical thinking and reasoning and know how to communicate it effectively, both in one's own languages and in a third language.
- Distinguish, when faced with a problem or situation, what is substantial from what is purely chance or circumstantial.
- Effectively use bibliographies and electronic resources to obtain information.
- Recognise the presence of Mathematics in other disciplines.
- Students must be capable of applying their knowledge to their work or vocation in a professional way and they should have building arguments and problem resolution skills within their area of study.
- Students must be capable of collecting and interpreting relevant data (usually within their area of study) in order to make statements that reflect social, scientific or ethical relevant issues.
- Students must be capable of communicating information, ideas, problems and solutions to both specialised and non-specialised audiences.
- Students must develop the necessary learning skills to undertake further training with a high degree of autonomy.
- Understand and use mathematical language.
Learning Outcomes
- Develop critical thinking and reasoning and know how to communicate it effectively, both in one's own languages and in a third language.
- Effectively use bibliographies and electronic resources to obtain information.
- Find models of the reality of a company or industry in relation to its financial or productive activity using mathematical language.
- Know how to apply the theory to specific problems or situations being worked on in practical classes.
- Know how to solve financial mathematics problems and those on other aspects related with the activities of a company or industry.
- Read specialised economic texts, both in English and in one's on language.
- Students must be capable of applying their knowledge to their work or vocation in a professional way and they should have building arguments and problem resolution skills within their area of study.
- Students must be capable of collecting and interpreting relevant data (usually within their area of study) in order to make statements that reflect social, scientific or ethical relevant issues.
- Students must be capable of communicating information, ideas, problems and solutions to both specialised and non-specialised audiences.
- Students must develop the necessary learning skills to undertake further training with a high degree of autonomy.
Content
- Introduction
- Introduction to financial markets
- Fair value and finance
- Academia vs Industry: Disclaimer
- Time value of money: Interest rates
- Type of interest rates
- Discount factors
- Spot & forward curves
- Bootstrapping method
- Description of fixed income assets and valuation
- Valuation of Forwards and Futures
- Description of forward and future instruments
- Forward price and expected value
- Currency forward price
- Interest rate derivatives
- Market conventions
- Description of an interest rate swap and valuation
- Mechanics of swap markets
- Options on bonds, caps and floors
- Mechanics of the options market
- Vanilla options on equities
- Exotic Options & Securitizations
Unless the requirements enforced by the health authorities demand a prioritization or reduction of these contents.
Activities and Methodology
| Title | Hours | ECTS | Learning Outcomes |
|---|---|---|---|
| Type: Directed | |||
| Case Studies | 20 | 0.8 | 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 |
| Lectures | 30 | 1.2 | 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 |
| Type: Supervised | |||
| Tutorials | 25 | 1 | 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 |
| Type: Autonomous | |||
| Study + Problem & Case Sets | 67.5 | 2.7 | 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 |
The student acquires the scientific-technical knowledge of the subject by attending to lectures and completing it with a personal study of the topics covered. The theory classes are activities in which less interactive activity is required from the student: they are conceived as a fundamentally unidirectional method of transmitting knowledge from teacher to student.
Problems and case sets are sessions with a small number of students with a double goal. On the one hand they work the scientific-technical knowledge showed in lectures to complete their understanding and to deepen in them through a variety of activities, from the typical resolution of problems to the discussion of practitioner cases. On the other hand, the problem set activities are the natural forum in which to discuss in common the development of practitioner cases work, providing the necessary knowledge to carry it out, or indicating where and how they can be acquired. The case problem sets of this subject is proposed as a way to guide the student in a statistical fieldwork in each of its stages.
This approach is aimed at promoting active learning and developing critical reasoning and the ability to analyze and sumarize.
The proposed teaching methodology may experience some modifications depending on the restrictions to face-to-face activities enforced by health authorities.
Annotation: Within the schedule set by the centre or degree programme, 15 minutes of one class will be reserved for students to evaluate their lecturers and their courses or modules through questionnaires.
Annotation: Within the schedule set by the centre or degree programme, 15 minutes of one class will be reserved for students to evaluate their lecturers and their courses or modules through questionnaires.
Assessment
Continous Assessment Activities
| Title | Weighting | Hours | ECTS | Learning Outcomes |
|---|---|---|---|---|
| Case Problem Sets | 35% | 2.5 | 0.1 | 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 |
| Case Sets | 35% | 2.5 | 0.1 | 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 |
| Exam | 30% | 2.5 | 0.1 | 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 |
To pass the subject it is necessary that the average of the case and problem sets is greater than or equal to 4 and the exam mark should be greater than or equal to 3. If the student attends the recovery exam, the final grade will be the maximum between the course grade and the weighted average of it (30 %) and the grade of the recovery exam (70%). It is not allowed to attend the recovery exam to increase final marks.
In the event that a student applies for Single Assessment, consisting of an Exam (50%) and an Applied Essay (50%), the student would need to obtain a minimum of 5 in both activities to pass the subject.
Student’s assessment may experience some modifications depending on the restrictions to face-to-face activities enforced by health authorities.
Bibliography
Hull, J. (2008) Options, Futures, and Other Derivatives, Prentice Hall.
Software
Excel
Language list
| Name | Group | Language | Semester | Turn |
|---|---|---|---|---|
| (SEM) Seminars | 1 | Catalan | second semester | afternoon |
| (TE) Theory | 1 | Catalan | second semester | afternoon |