Cursos / 2º Ciclo / / Faculty of Economy and Business Management :: Management

FINANÇAS - 2016/2017

1º curricular year
Semestralidade: 1st semester
ECTS: 7.5

Teachers

Leading Teacher: Prof. Doutor Vasco Leite
Assistant Professor: Prof. Doutor Vasco Leite

Class type and School hours

Orientação Tutorial : 1 Horas
Teórico-prática : 1 Horas

Teaching Language

Portuguese

Main Aims/Objectives

Teaching the valuation methods of financial assets.
Teaching the equilibrium models in investment portfolios.
Teaching the functions of financial derivatives.

Specific Aims/Objectives

Computing the theoretical price of an asset using the cash flows approach.
Using equilibrium models to create efficient and diversified portfolios.
Using financial derivatives for hedging.

Skills to be acquired

The student will be able to calculate the theoretical price of a bond and a share, according to the assumptions in the valuation methods.
The student will be able to choose the financial assets for the composition of efficient and diversified portfolios with general equilibrium models as CAPM and ATP.
The student will be able to compute the value of a financial derivative and at the same time using it to take hedging decisions.

Teaching Procedures

The teaching methods are diverse:
1) Expository method for the presentation of the syllabus.
2) Resolution of practical exercises.
3) Resolution of case study in Excel sheet.

Programme

1. Valuation of financial assets
1.1- Valuation of bonds.
1.2- Valuation of shares.
2. Asset management portfolios
2.1- Risk and Expected Return of an asset.
2.2- Risk and Expected Return in a portfolio.
2.3- Capital Asset Pricing Model (CAPM).
2.4- Arbitrage Pricing Theory (ATP).
3. Forward and Futures Contracts
3.1- Market.
3.2- Valuation.
3.3-Risk coverage.
4. Options
4.1- The types of options contracts.
4.2- Put-Call Parity.
4.3- European and US Calls for an share that does not pay dividends.
4.4- Valuation of European options
             - Binomial model.
             - Black-Scholes model.
4.5- Valuation of American options in the binomial model.
5. Swaps
5.1- Description of a swap contract.
5.2- Valuation of a swap contract.

Evaluation Type

Two papers (30% + 30%) and a final test (40%) .

Teaching Resources

Suggested bibliography and notebooks provided by the teacher.

Sustainability Objectives

Keywords

Valuation of financial assets
Portfolio Management
Options
Futures
Swaps.

Main Bibliography

Complementary Bibliography