10/30/2015 Nattawoot Koowattanatianchai 1 Derivatives Analysis - - PowerPoint PPT Presentation

▶

Mar 26, 2024 561 likes •811 views

10/30/2015 Nattawoot Koowattanatianchai 1 Derivatives Analysis Nattawoot Koowattanatianchai 10/30/2015 Nattawoot Koowattanatianchai 2 Em Email: : fbusnwk@k snwk@ku. u.ac. c.th Homepag age: e: http: tp:// //fin.bu

SLIDE 1

10/30/2015 Nattawoot Koowattanatianchai 1

SLIDE 2

10/30/2015 Nattawoot Koowattanatianchai 2

Derivatives Analysis

Nattawoot Koowattanatianchai

SLIDE 3

10/30/2015 Nattawoot Koowattanatianchai 3

 Em

Email: :

 fbusnwk@k

snwk@ku. u.ac. c.th

 Homepag

age: e:

 http:

tp:// //fin.bu fin.bus. s.ku. ku.ac. c.th th/natta /nattawoot woot.h .htm tm

 Ph

Phone:

 02

02-942 4287 8777 77 Ext.

t. 1221

 Mobile

le: :

 087

087- 5393525 5393525

 Offic

fice: e:

 9th

th floor,

r, KBS Building 4

SLIDE 4

10/30/2015 Nattawoot Koowattanatianchai 4

Introduction

SLIDE 5

Course description

 Analysis of contracts, pricings, valuations and

risks of forward, futures, swap, and options, risk management of option strategies, and interest and credit derivatives, introduction of various types of risks such as market risk, credit risk and operational risk, measurement

f risk, and components of risk management

process.

10/30/2015 Nattawoot Koowattanatianchai 5

SLIDE 6

Class time and venue

 Class will meet every Saturday,

10.30 am – 5.30 pm, CC15 ABAC City Campus.

 Midterm exam on November 21,

2015.

 Final exam on December 19,

2015.

10/30/2015 Nattawoot Koowattanatianchai 6

SLIDE 7

Texts

 CFA Program Curriculum 2015 -

Level II – Volume 6: Derivatives and Portfolio Management.

 Don M. Chance and Robert

Brooks, An Introduction to Derivatives and Risk Management, 9th Edition, 2013, Thomson.

10/30/2015 Nattawoot Koowattanatianchai 7

SLIDE 8

Course objectives

 To be able to describe characteristics of

various derivative contracts.

 To understand the mechanism of derivatives

markets and derivatives trading.

 To be able to price various types of derivative

securities.

 To be able to value various types of

derivative securities at different points in time.

10/30/2015 Nattawoot Koowattanatianchai 8

SLIDE 9

Course objectives

 The course is

carefully structured to ensure close alignment with the CFA curriculum.

10/30/2015 Nattawoot Koowattanatianchai 9

SLIDE 10

Expected workload

 15 hours per week

 6 hours for the class  5 hours in undertaking

the background reading

 4 hours in researching

and writing the essay

10/30/2015 Nattawoot Koowattanatianchai 10

SLIDE 11

Materials and equipment

 Electronic calculators

are permitted in examinations.

 calculators must be

non-programmable and without a full set

f alphabetic keys.

10/30/2015 Nattawoot Koowattanatianchai 11

SLIDE 12

Course outline

 Introduction and forward contracts

 Chance/Brooks Chapter 8  CFA II reading 47

 Pricing and valuation of forward contracts

 Chance/Brooks Chapter 9  CFA II reading 47

 Futures contracts

 Chance/Brooks Chapters 8-9  CFA II reading 48

10/30/2015 Nattawoot Koowattanatianchai 12

SLIDE 13

Course outline

 Option contracts

 Chance/Brooks Chapters 2 and 6  CFA II reading 49

 Option pricing

 Chance/Brooks Chapters 3-5  CFA II reading 49

 Swap contracts

 Chance/Brooks Chapter 12  CFA II reading 50

10/30/2015 Nattawoot Koowattanatianchai 13

SLIDE 14

Course outline

 Interest rate derivative instruments

 Chance/Brooks Chapter 13  CFA II reading 51

 Credit default swaps

 Chance/Brooks Chapter 13  CFA II reading 52

10/30/2015 Nattawoot Koowattanatianchai 14

SLIDE 15

10/30/2015 Nattawoot Koowattanatianchai 15

 Class participation 10%  Essay 30%  Midterm exam 30%  Final exam 30%

Assessment requirements

SLIDE 16

10/30/2015 Nattawoot Koowattanatianchai 16

 Literature review topic

 “Does the Black-Scholes-Merton Model correctly

price options”

 Requirements

 4,000 words or less typed in Microsoft Word.  At least 25 refereed journal articles are included.  Use Harvard style of referencing.

Essay

SLIDE 17

10/30/2015 Nattawoot Koowattanatianchai 17

 Submission deadline

 By midnight on December 13, 2015.

 Penalty

 Late essays will attract a 10% penalty per

calendar day for the first five days (i.e., marked

ut of 90, 80, etc.), and be awarded zero after five

days.

 Essay material in excess of the word limit will not

be marked.

Essay

SLIDE 18

10/30/2015 Nattawoot Koowattanatianchai 18

 Essay submitted  Midterm and final exams

attended

 A minimum class

attendance of 80% to be eligible to sit the final examination.

Mandatory course requirements

SLIDE 19

10/30/2015 Nattawoot Koowattanatianchai 19

Grading

 less than 50 = F  55 – 59 = D+  65 – 69 = C+  75 – 79 = B+  80 and above = A  50 – 54 = D  60 – 64 = C  70 – 74 = B

Decimals mals will be rounded up to the nearest est integer! eger!

SLIDE 20

10/30/2015 Nattawoot Koowattanatianchai 20

 In the event that the

assessment scheme yields a fail grade (less than 50% of the total marks), but the exam marks alone yield a pass, a C pass will be awarded.

Grading

SLIDE 21

10/30/2015 Nattawoot Koowattanatianchai 21

 Communication with me

 In class  Email  Chat group on Line

 Course contents

 Download them from my

homepage

Class communication

SLIDE 22

10/30/2015 Nattawoot Koowattanatianchai 22

 Consult the student handbook of Assumption

University’s Graduate School of Business

 http://www.grad.au.edu/Student%20Handbook%20

GSB%20May%202014%20small.pdf

Academic rules and regulations

SLIDE 23

10/30/2015 Nattawoot Koowattanatianchai 23 10/30/2015 Nattawoot Koowattanatianchai 23

4/6/2011 Natt Koowattanatianchai 23