Derivatives (FIN402)
Vietnamese title: Công cụ phái sinh
Credits: 3
Prerequisites: FIN202

Description:
This course is a follow-up to FIN202 and FIN303, in which students touch on fundamental concepts of finance in general and corporate finance in particular. After the theoretical foundation established in FIN202 and FIN303, students now have chance to acquire indepth knowledge about Derivatives valuation and investment strategies.
Topics include: Futures and Forwards Valuation and Strategies, Option Valuation and Strategies, Swaps, Commodity Forwards and Futures, Financial Risk Management.

Learning outcomes:
Demonstrate an understanding of the uses of financial engineering and risk management approaches and techniques used by modern organisation
Apply their knowledge of derivatives in solving problems involving financial risks including foreign exchange risk, interest rate risk, credit risk and portfolio risks
Make informed judgements on the use of derivative instruments
Identify and assess the impact of seminal developments in the literature on derivatives

Student tasks:
- Class attendance is strongly encouraged. Attend at least 80% of class hours in order to be accepted to the final examination
- Actively participate in class activities
- Fulfil tasks given by intructors after class
- Use their own laptop in class only for learning purpose
- Read the textbook in advance
- Access the course website (http://flm.fpt.edu.vn) for up-to-date information and material of the course, for online supports from teachers and other students and for practicing and assessment.

Tools:

Materials:
description: Derivatives Markets
author: McDonald R.L
publisher: Pearson
published_date: 2012
edition: 3rd
description: Introduction to Derivatives and Risk Management
author: Chance D.M. and Brooks R
publisher: Cengage Learning
published_date: 2012
edition: 10th

Assessments:
category: Class Participation
type: on-going
weight: 10.0
no_question: Each student should make at least 1 individual presentation during the course in front of the class. Topics will be varied based on the topics in the textbook. In addition, students are required to do exercises and other activities
category: Group Assignment
type: on-going
weight: 30.0
duration: In class (30 minutes/group)
question_type: CLO1, CLO2, CLO3, CLO4
no_question: As instructed by the lecturer. Suggestion: 1. Number of Group Members: 4 to 5 students/group2. Analysis and Simulation of a Hedging Strategy Using Derivative Instruments for a Real-World CompanySpecific Requirements:Select a real company operating in Vietnam (e.g., import-export firms, manufacturers using international raw materials, banks, or financial institutions).Analyze key financial risks the company is facing (such as exchange rate risk, interest rate risk, or commodity price risk).Propose a hedging strategy using derivative instruments such as futures, options, or swaps to mitigate the identified risks.Simulate the financial outcome of applying the strategy versus not applying it, using basic financial modeling or spreadsheets.Evaluate the benefits, costs, and potential risks associated with the proposed derivative strategy.Group Deliverables:*Written group report (8–15 pages, in .doc or .pdf format).*Presentation slides (PowerPoint, Canva, or Google Slides).3. Presentation Time in Class:20 minutes per group for presentation10 minutes for Q&A session
grading_guide: Part 1,2,3,4
note: As solution
category: Individual Assignment
type: on-going
weight: 20.0
duration: At home
no_question: Case study: Discuss an example of using one type of Derivatives for Risk management
grading_guide: Applied theory
note: By instructor
category: Quizzes
type: on-going
weight: 10.0
duration: In class (30-40 minutes/each)
no_question: Multiple choice questions and or small exercises
knowledge_and_skill: At least 20 questions if only MC
grading_guide: Cover Part 1: Insurance Hedging and Simple strategies + Part 2: Forwards and Futures, Cover Part 3: Options + Part 4: Swaps, Interest rate Forwards and Options
note: As solution
category: Final exam
type: Final exam
weight: 30.0
duration: 60 minutes
no_question: MCQs
knowledge_and_skill: Multiple choice (50 questions)
grading_guide: Part 1: Insurance Hedging and Simple strategies cover 20%
Part 2: Forwards and Futures covers 30%
Part 3: Options covers 30%
Part 4: Swaps, Interest rate Forwards and Options covers 20%
of the total contents in the exam
note: By Exam board

Schedule:
session: Part 0: INTRODUCTION
-Course Overview
-Introduction to AI Integration
learning_outcomes: I
materials: FIN402
session: Part 0: INTRODUCTION
Chapter 1: Introduction
What is a Derivative?
The role of Financial Markets
Derivatives in Practice
Buying and Short-selling Financial Assets
learning_outcomes: I
T
materials: FIN402
session: Part 1: INSURANCE, HEDGING, AND SIMPLE STRATEGIES
Chapter 2: An introduction to Forwards and Options
Forward Contracts
Call Options
learning_outcomes: T
session: Part 1: INSURANCE, HEDGING, AND SIMPLE STRATEGIES
Chapter 2: An introduction to Forwards and Options (cont')
Put Options
Summary of Forward and Option positions
Options are Insurance
learning_outcomes: T
session: Chapter 3: Insurance, Collars, and Other Strategies
Basic Insurance Strategies
learning_outcomes: T
U
session: Chapter 3: Insurance, Collars, and Other Strategies (cont')
Synthetic Forwards
learning_outcomes: T
U
session: Chapter 3: Insurance, Collars, and Other Strategies (cont')
Spreads and Collars
learning_outcomes: T
U
session: Chapter 3: Insurance, Collars, and Other Strategies (cont')
Speculating on Volatility
learning_outcomes: T
U
session: Chapter 3: Insurance, Collars, and Other Strategies (cont')
Practice Exercises
learning_outcomes: U
session: Chapter 3: Insurance, Collars, and Other Strategies (cont')
Practice Exercises
learning_outcomes: U
session: Chapter 4: Introduction to Risk Management
Basis Risk Management: The Producer's Perspective
learning_outcomes: T
session: Chapter 4: Introduction to Risk Management (cont')
Basis Risk Management: The Buyer's Perspective
learning_outcomes: T
session: Chapter 4: Introduction to Risk Management (cont')
Why do Firms Manage Risk?
Golddiggers Revisited
learning_outcomes: T
session: Chapter 4: Introduction to Risk Management (cont')
Selecting the Hedge ratio
learning_outcomes: T
session: Chapter 4: Introduction to Risk Management (cont')
Practice exercises
learning_outcomes: U
session: Chapter 4: Introduction to Risk Management (cont')
Practice exercises
learning_outcomes: U
session: REVISION OF PART 1
learning_outcomes: U
session: REVISION OF PART 1
learning_outcomes: U
session: Part 2: FORWARDS AND FUTURES
Chapter 5: Financial Forward and Futures
Alternative way to buy a stock
Prepaid Forward Contracts on Stock
learning_outcomes: T
session: Part 2: FORWARDS AND FUTURES
Chapter 5: Financial Forward and Futures (cont')
Forward Contracts on Stock
Futures Contracts
learning_outcomes: T
session: Part 2: FORWARDS AND FUTURES
Chapter 5: Financial Forward and Futures (cont')
Uses of Index Futures
Currency Contract
learning_outcomes: T
session: Part 2: FORWARDS AND FUTURES
Chapter 5: Financial Forward and Futures
Practice Exercises
learning_outcomes: U
session: Part 2: FORWARDS AND FUTURES
Chapter 5: Financial Forward and Futures
Practice Exercises
learning_outcomes: U
session: Quiz 1:
Textbook: Part 1 + 2
learning_outcomes: U
session: Chapter 6: Commodity Forwards and Futures
Introduction to Commodity Forwards
Equilibrium Pricing of Commodity Forwards
Pricing Commodity Forwards by Arbitrage
learning_outcomes: T
session: Chapter 6: Commodity Forwards and Futures (cont')
Carry Markets
Gold Futures
Seasonality: The Corn Forward Market
session: Chapter 6: Commodity Forwards and Futures (cont')
Natural Gas
Oil
Commodity Spreads
Hedging Strategies
learning_outcomes: T
U
session: Guidance on Individual Assignment
learning_outcomes: U
session: REVISION OF PART 2
learning_outcomes: U
session: REVISION OF PART 2
learning_outcomes: U
session: Group Assignment Release
learning_outcomes: U
session: Part 3: OPTIONS
Chapter 9: Parity and other Option relationships
Put-Call Parity
Generalized Parity and Exchange Options
learning_outcomes: T
session: Part 3: OPTIONS
Chapter 9: Parity and other Option relationships (cont')
Comparing Options with Respect to Style, Maturity, and Strike
learning_outcomes: T
session: Part 3: OPTIONS
Chapter 9: Parity and other Option relationships (cont')
Practice Exercises
learning_outcomes: U
session: Chapter 10: Binomial Option Pricing: I
A One-Period Binomial Model Tree
learning_outcomes: T
U
session: Chapter 10: Binomial Option Pricing: I (cont')
A One-Period Binomial Model Tree
learning_outcomes: T
U
session: Chapter 10: Binomial Option Pricing: I (cont')
Two or More Binomial Periods
learning_outcomes: T
U
session: Chapter 10: Binomial Option Pricing: I (cont')
Put Options
learning_outcomes: T
U
session: Chapter 10: Binomial Option Pricing: I (cont')
Options on other assets
learning_outcomes: T
U
session: Chapter 10: Binomial Option Pricing: I (cont')
Practice Exercises
learning_outcomes: U
session: Chapter 12: The Black-Scholes Formula
Introduction to the Black-Scholes Formula
learning_outcomes: T
session: Chapter 12: The Black-Scholes Formula (cont')
Applying the Formuala to Other Assets
learning_outcomes: T
U
session: Chapter 12: The Black-Scholes Formula (cont')
Option Greeks
learning_outcomes: T
U
session: Chapter 12: The Black-Scholes Formula (cont')
Practice Exercises
learning_outcomes: U
session: REVISION OF PART 3
learning_outcomes: U
session: Individual Assignment - Discussion
learning_outcomes: U
session: Submission of Individual Assignment
learning_outcomes: U
session: Part 4: SWAP:
Chapter 8: Swaps
Interest rate swaps
learning_outcomes: T
U
session: Part 4: SWAP:
Chapter 8: Swaps (cont')
Currency Swaps
learning_outcomes: T
U
session: Part 4: SWAP:
Chapter 12 (Ref Book): Swaps
Equity Swaps
learning_outcomes: T
U
session: REVISION OF PART 4
learning_outcomes: U
session: Quiz 2: Textbook: Part 3 + 4
learning_outcomes: U
session: Individual Assignment - Review and Feedback
learning_outcomes: U
session: Individual Assignment - Review and Feedback
learning_outcomes: U
session: Group Presentation
learning_outcomes: U
session: Group Presentation
learning_outcomes: U
session: Group Presentation
learning_outcomes: U
session: Group Presentation
learning_outcomes: U
session: Group Presentation
learning_outcomes: U
session: Group Presentation
learning_outcomes: U