Faculty of Informatics and

Electronic Economy
EDUCATIONAL MODULE
DESCRIPTION SHEET

Module name
Derivatives pricing

Module name in english

Derivatives pricing

Module code Method of evaluation

IF00S.22B.12355.18 Assessment

Field of study Track Year / semester

Financial Engineering General academic 1/2

Specialisation Language of instruction Module

All English Obligatory

Number of hours Number of ECTS points Block

Lectures: 30 Classes: 0 3 B

Level of qualification Mode of studies Education field

Second-cycle programme Full-time

Author Marcin Bartkowiak

Teachers Marcin Bartkowiak

Module’s educational aims

C1 Knowledge of basic methods, theorems and models used in the valuation of derivatives.

C2 Acquiring the ability to implement theoretical models for the valuation of real instruments.

C3 Acquiring the analytical skills to value complex financial instruments

Module’s learning outcomes

Learning outcomes
Code Outcomes in terms of
within the field

Knowledge

W1 Student knows the methods and models of valuation of derivatives K2_W04

W2 Student knows the methods of using derivatives to transfer risk. K2_W04

W3 Student knows the tools necessary for the valuation of derivatives. K2_W01

Skills

U1 Student can price complex derivatives. K2_U01, K2_U02

U2 Student by oneself can price new derivatives K2_U01, K2_U02

U3 Student can build risk management strategies. K2_U02

Social competences

1/4
 K1 Student can cooperate in the project on pricing financial instrument K2_K02

K2 Student can develop his/her knowledge about derivatives pricing K2_K01

Study content
Module’s educational Module’s learning
No. Study content
aims outcomes

N/A : Forwards and Futures. Valuing forward and

1. C1 W1, U1, K2
futures contracts

N/A : Options. Option payoffs. Factors affecting

2. C1 W1, U1, K2
option prices

3. Binomial and trinomial trees C1, C2, C3 W1, W3, U1, K2

4. Black-Scholes model C1, C2, C3 W1, U1, K2

5. Interest rate derivatives C1, C2, C3 W1, W3, U1, U2, K2

6. Greeks C1, C2, C3 W1, W3, K2

7. Volatility C1, C2, C3 W1, W3, U1, K2

8. Option strategies C1, C2, C3 W2, U3, K1, K2

Bibliography
Obligatory

1. Back K, A course in derivative securities : introduction to theory and computation, Springer, 2005
2. Hull J.C., Options, Futures, and Other Derivatives, Prentice Hall, 2003.
3. Wilmott P., Paul Wilmott introduces quantitative finance, John Wiley and Sons 2008

Recommended

1. Haug E.G., The Complete Guide to Option Pricing Formulas, McGraw-Hill 2006
2. Glasserman P., Monte Carlo Methods in Financial Engineering, Springer 2003

Entry requirements n/a

Project method, Brainstorming, Lecture with multimedia presentation, Discussion,

Teaching methods
Exercises

Method of evaluation Oral exam, Final test, Group project / Group work

Settlement of ECTS points

Forms of student work Average number of hours for student work *

Project preparation 40

Consultations with teacher 10

Preparation for exam 40

Participation in lectures 30

Number of hours ECTS points

Student work in total
120 3

2/4
 Number of hours ECTS points
Contact hours (with the teacher)
40 1.5

Number of hours ECTS points

Practical-class work
40 1.5

* one hour of classes = 45 minutes

Methods of evaluating the learning outcomes

Learning-outcome Methods of evaluation
code Oral exam Final test Group project / Group work

W1 x x

W2 x x

W3 x x

U1 x x

U2 x x

U3 x x

K1 x

K2 x

3/4
 Effects

Code Content

can critically and correctly assess his/her knowledge and skills and plan systematic improvement through
permanent self-education. He/She understands the need for development through reading the professional
K2_K01
literature, he/she is able to select and study, even very advanced positions. He\She can choose courses and
training to improve his/her competence

is prepared to serve as a participant and leader of the team involved in the project; he/she is fully aware of the
K2_K02
responsibility for jointly implemented the task, and understands the ethical dimension of work

is able to perform in-depth analysis of complex socio-economic phenomena, based on that he/she can build
K2_U01
models and interpret the results

is able to choose, build and use quantitative tools of varying sophistication to the forecasting and simulation of
K2_U02
socio-economic phenomena. He/she can critically select the methods of analysis

K2_W01 understands the social sciences and their relationship to science and humanities

has in-depth knowledge of quantitative tools that can be used in the modeling, analysis and optimization in the
K2_W04 economy. He/she knows the capabilities and limitations of these tools. He/she understands economic processes
well enough to choose or design the appropriate advanced model

4/4