154-0576/01 – Advanced Derivatives and Alternative Investments (ADAI)

Gurantor department	Department of Finance	Credits	5
Subject guarantor	doc. Ing. Petr Seďa, Ph.D.	Subject version guarantor	doc. Ing. Petr Seďa, Ph.D.
Study level	undergraduate or graduate	Requirement	Choice-compulsory type B
Year	3	Semester	winter
		Study language	English
Year of introduction	2024/2025	Year of cancellation
Intended for the faculties	EKF	Intended for study types	Bachelor

Instruction secured by
Login	Name	Tuitor	Teacher giving lectures
NOV33	Ing. Martina Novotná, Ph.D.
SED02	doc. Ing. Petr Seďa, Ph.D.
TIC02	prof. Ing. Tomáš Tichý, Ph.D.

Extent of instruction for forms of study
Form of study	Way of compl.	Extent
Full-time	Credit and Examination	2+2

Subject aims expressed by acquired skills and competences

The objective of this course is to provide extension of basic fundamentals and role of derivatives and alternative investments. After completing the course, the students will be able to: • Discuss and apply hedging strategies using derivatives, • understand how forward, futures and swap prices are determined, • explain properties and use approaches of stock options valuation, • describe and assess trading strategies involving options, • explain and use measures of risk and performance of alternative investments, • understand the structure of hedge fund industry and main hedge fund strategies, • distinguish among various types of private equity.

Teaching methods

Lectures
Tutorials

Summary

This course is focused on providing extension of basic concepts and principles related to the derivative markets and alternative investments. The lectures aim to clarify the advanced principles and concepts, while the seminars focus on the application of acquired knowledge through case studies, practical exercises, and projects focused on the use of individual assets for hedging, trading and investment purposes.

Compulsory literature:

CFA Institute. Derivatives (CFA Institute Investment Series). Hoboken: Wiley, 2021. ISBN 978-1119850588. CHAMBERS, D. R. et al. Alternative Investments. CAIA Level I. 4th ed. Hoboken: Wiley, 2020. ISBN 978-1-119-60415-0. HULL, John. Options, futures, and other derivatives. 11th ed. Upper Saddle River: Pearson, 2021. ISBN 978-0-13-500994-9.

Recommended literature:

BODIE, Zvi, Alex KANE and Alan J. MARCUS. Investments. 12th ed. New York: McGraw Hill, 2021. ISBN 978-1-260-57115-8. CHAMBERS, Donald R., KAZEMI, Hossein B., Keith H. BLACK and CAIA Association. Alternative Investments. An Allocator’s Approach. 4th ed. Hoboken: Wiley, 2021. ISBN 978-1119651680. LAOPODIS, Nikiforos. Understanding investments: theories and strategies. 2nd ed. London: Routledge, Taylor & Francis Group, 2021. ISBN 978-1000074741.

Way of continuous check of knowledge in the course of semester

Credit assessment (case study), elaboration and submission of a project, written exam

E-learning

Other requirements

There are no additional requirements for a student.

Prerequisities

Subject has no prerequisities.

Co-requisities

Subject has no co-requisities.

Subject syllabus:

1. Hedging strategies • Basic principles of hedging strategies using futures, • types of hedging strategies, • cross hedging (hedge ratio, optimal number of contracts), • hedging an equity portfolio (stock index futures, reasons for hedging). 2. Derivatives valuation • Valuation of forward, futures and swap contracts, • principles of non-arbitrage approach to valuation of contingent claims, • option valuation models (assumptions and use of models), • option Greeks and implied volatility. 3. Derivatives strategies • Changing risk exposures with swaps, futures and forwards, • position equivalencies (synthetic options), • covered calls and protective puts (investment objectives), • spreads and combinations (bull and bear spreads). 4. Risk and performance of alternative investments • Measures of return and risk (internal rate of return, risk-adjusted measures), • benchmarking and performance attribution, • benchmarking of commodities, real estate, private equity and managed funds, • returns on illiquid funds (reasons and approaches for price smoothing). 5. Hedge fund industry • Structure of hedge fund industry (hedge fund classification, indices), • strategies of hedge funds (event-driven, relative value), • types and characteristics of hedge funds (equity hedge funds, funds of hedge funds), • hedge fund risks and returns. 6. Access to real assets and private equity • access to real estate (unlisted and listed real estate funds, types of REITs), • commodity investments and key concepts in managing commodity exposures, • overview of issues in private versus listed investment access, • secondary markets for PE partnership.

Conditions for subject completion

Full-time form (validity from: 2024/2025 Winter semester)

Task name	Type of task	Max. number of points (act. for subtasks)	Min. number of points	Max. počet pokusů
Credit and Examination	Credit and Examination	100 (100)	51
Credit	Credit	45	23
Examination	Examination	55	28	3

Mandatory attendence participation: Participation in lectures and seminars is not mandatory.

Show history

Conditions for subject completion and attendance at the exercises within ISP: Participation in the seminars is not mandatory. The student must meet the requirements for completing the subject - credit (successful completion of the credit test), submission of the project and successful completion of the written exam. Attendance at lectures is optional.

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Occurrence in study plans

Academic year	Programme	Branch/spec.	Spec.	Zaměření	Form	Study language	Tut. centre	Year	W	S	Type of duty
2024/2025	(B0412EKF015) Financial and Accounting Advisory				P	English	Ostrava	3			Choice-compulsory type B	study plan

Occurrence in special blocks

Block name	Academic year	Form of study	Study language	Year	W	S	Type of block	Block owner

Assessment of instruction

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